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How Common are Return Factors in Cryptocurrencies and Equities? 加密货币和股票的回报因素有多普遍?
ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic) Pub Date : 2021-04-21 DOI: 10.2139/ssrn.3835627
Guo Feng, Yulong Sun
{"title":"How Common are Return Factors in Cryptocurrencies and Equities?","authors":"Guo Feng, Yulong Sun","doi":"10.2139/ssrn.3835627","DOIUrl":"https://doi.org/10.2139/ssrn.3835627","url":null,"abstract":"Finance research contributes to finding factors to explain the cross-sectional expected equity and cryptocurrency returns. In this paper, we implement the statistical methods to evaluate the common factor structure of these two markets and aim to identify the possible common factors across two markets. By considering the comprehensive dataset covering cryptocurrencies and the U.S. equity universe, we find that there are no common pervasive factors that govern the returns for both cryptocurrencies and equities before 2019, but there arises one common factor post-2020. The identified common factor is significantly related to the standard equity factors but not the crypto factors, which suggests that equity factors can help explain the common variations in returns across equities and cryptocurrencies. The documented pattern is robust across different U.S. equity market classifications, return specifications, and implemented statistical methods. Moreover, we find this pattern holds at the international equity market level. Our results point to the arising of common factors driving the returns on these two markets. Specifically, it's the equity factors that contribute to explaining the cross-sectional cryptocurrency returns recently.","PeriodicalId":117729,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125574034","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Best of Both Worlds: Accessing Emerging Economies via Developed Markets 两全其美:通过发达市场进入新兴经济体
ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic) Pub Date : 2018-08-22 DOI: 10.2139/ssrn.2633557
Joon Woo Bae, Redouane Elkamhi, Mikhail Simutin
{"title":"The Best of Both Worlds: Accessing Emerging Economies via Developed Markets","authors":"Joon Woo Bae, Redouane Elkamhi, Mikhail Simutin","doi":"10.2139/ssrn.2633557","DOIUrl":"https://doi.org/10.2139/ssrn.2633557","url":null,"abstract":"A growing body of evidence suggests that the benefits of international diversification via developed markets have dramatically declined. While emerging markets still offer diversification opportunities, their public equity indices capture only a fraction of economic activity of emerging countries. We propose a diversification approach that exploits the global connectedness of developed countries to gain exposure to emerging countries overall economies rather than their shallow equity markets. In doing so, we demonstrate that developed markets still offer substantial diversification benefits beyond those available through equity indices. Our results suggest that relying on equity indices to assess diversification benefits understates diversification gains.","PeriodicalId":117729,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122274022","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
Russia's Financial Markets in July 2014 2014年7月的俄罗斯金融市场
ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic) Pub Date : 2014-09-16 DOI: 10.2139/SSRN.2497030
Nikita Andrievskiy, E. Khudko
{"title":"Russia's Financial Markets in July 2014","authors":"Nikita Andrievskiy, E. Khudko","doi":"10.2139/SSRN.2497030","DOIUrl":"https://doi.org/10.2139/SSRN.2497030","url":null,"abstract":"The MICEX Index, after having risen by 2% to 1,513 points over the first ten days of July, then dropped by 10% towards the month’s end. By 28 July, MICEX Index stood at 1,361.9 points. The MICEX’s capitalizati on by 28 July had amounted to Rb 21.8 trillion (or 32.0% of GDP). Russia’s domestic corporate bond market displayed a surge of the weighted average eff ective yield on corporate bonds in face of a declining corporate bond portfolio duration index. Nevertheless, in July the market volume and the marker index, as well as investor primary and secondary bidding activity, were on the rise.","PeriodicalId":117729,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic)","volume":"37 6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133289335","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Intra-Day Realized Volatility for European and USA Stock Indices 欧洲和美国股票指数日内实现波动率
ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic) Pub Date : 2014-04-01 DOI: 10.2139/ssrn.3259865
Stavros Degiannakis, Christos Floros
{"title":"Intra-Day Realized Volatility for European and USA Stock Indices","authors":"Stavros Degiannakis, Christos Floros","doi":"10.2139/ssrn.3259865","DOIUrl":"https://doi.org/10.2139/ssrn.3259865","url":null,"abstract":"The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot, which minimizes the microstructure effects. Having verified the stylized facts of realized volatility, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized volatilities is positive and extremely high, although for some periods, it decreases dramatically. The correlation of volatilities within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide evidence that the inter-day adjusted realized volatility reduces significantly the underestimation of the true variability.","PeriodicalId":117729,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126084374","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Non-Linearity in the Dividend Yield: A Comparison of the US and Japan 股利收益率的非线性:美国与日本的比较
ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic) Pub Date : 2013-12-29 DOI: 10.2139/ssrn.2772571
Andreas Humpe
{"title":"Non-Linearity in the Dividend Yield: A Comparison of the US and Japan","authors":"Andreas Humpe","doi":"10.2139/ssrn.2772571","DOIUrl":"https://doi.org/10.2139/ssrn.2772571","url":null,"abstract":"In order to examine non-linear predictability of the US and Japanese dividend-yield ratio, smooth transition regression model analysis is applied to an extended time period of data. The theoretical basis for investigating non-linear behaviour in stock returns can be based on the interaction between noise traders and arbitrageurs or behavioural finance theories of non-linear risk aversion. Our findings support non-linearity in the US and Japanese dividend yield that might be linked to differences in the market structure of the Japanese stock market compared to the US. Specifically, there is evidence of an inner momentum and an outer mean reversion regime in both countries. However, the momentum regime appears to be larger in the US compared to Japan.","PeriodicalId":117729,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116168514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
International Equity Flows and Returns: A Quantitative Equilibrium Approach 国际股权流动与回报:一种定量均衡方法
ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic) Pub Date : 2005-07-01 DOI: 10.1111/j.1467-937x.2007.00412.x
R. Albuquerque, Gregory H. Bauer, Martin Schneider
{"title":"International Equity Flows and Returns: A Quantitative Equilibrium Approach","authors":"R. Albuquerque, Gregory H. Bauer, Martin Schneider","doi":"10.1111/j.1467-937x.2007.00412.x","DOIUrl":"https://doi.org/10.1111/j.1467-937x.2007.00412.x","url":null,"abstract":"This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private investment opportunities. The model delivers a unified explanation for three stylized facts about US investors' international equity trades: (i) trading by US investors occurs in bursts of simultaneous buying and selling, (ii) Americans build and unwind foreign equity positions gradually and (iii) US investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries.","PeriodicalId":117729,"journal":{"name":"ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic)","volume":"183 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134215063","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 149
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