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Are the Emerging Markets Relevant for Portfolio Diversification? 新兴市场是否与投资组合多元化相关?
INTL: Economic & Financial Issues (Topic) Pub Date : 2011-03-20 DOI: 10.2139/ssrn.1791282
S. Kumar
{"title":"Are the Emerging Markets Relevant for Portfolio Diversification?","authors":"S. Kumar","doi":"10.2139/ssrn.1791282","DOIUrl":"https://doi.org/10.2139/ssrn.1791282","url":null,"abstract":"In the recent financial meltdown, along with the slump in developed markets, emerging markets also declined sharply, bringing into doubt their ability to provide diversification benefits. One of the stylised facts of volatility is its negative correlation with the equity market, which in conjunction with the launching of securities for trading volatility, leads to the emergence of a new asset class for portfolio diversification. From the perspective of investors in the US, this study investigates whether a domestic portfolio along with exposure to an alternative asset class like volatility index (VIX) fares better than investing in emerging markets. The results show that for the minimum variance portfolios, there is a significant increase in Sharpe ratio when VIX is included, instead of the emerging markets to the domestic portfolio. Adding VIX is bene-ficial, as the magnitude and direction of its correlation is not only predictable but also stable. While the emerging markets correlations with developed markets are positive and increasing thereby diminish-ing the diversification benefits. Hence, US investors in pursuit of risk reduction have an alternative investment opportunity in volatility-based contracts.","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"194 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122854321","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: 3
Trade Patterns and Trade Clusters: China, India, Brazil and South Africa in the Global Trading System 贸易模式与贸易集群:全球贸易体系中的中国、印度、巴西和南非
INTL: Economic & Financial Issues (Topic) Pub Date : 2011-02-01 DOI: 10.2139/ssrn.1996821
P. Montalbano, S. Nenci
{"title":"Trade Patterns and Trade Clusters: China, India, Brazil and South Africa in the Global Trading System","authors":"P. Montalbano, S. Nenci","doi":"10.2139/ssrn.1996821","DOIUrl":"https://doi.org/10.2139/ssrn.1996821","url":null,"abstract":"The present paper analyzes the evolution of the specialization and trade patterns of China, India, Brazil and South Africa (CIBS) and other WTO countries. It aims to provide an answer to the following questions: is there a tendency to a multi-polarization of trade patterns? If so, is CIBS’ rise leading to new clusters with or among CIBS or other emerging countries? Also, ultimately, does this multi-polarization have a regional element to it? The paper deals with the above questions by presenting: i) a world map of trade clusters involving WTO countries and CIBS; ii) a comparison of the above clusters and their key characteristics in the last decade; and iii) the key drivers of clusters’ trends. The novelty of this study is twofold: first, it adopts a more comprehensive dataset for a wide range of countries and trade dimensions; second, it provides an evolutionary look at the clusters’ trends. The empirical results do not show neither a remarkable phenomenon of multi-polarization, nor evidence of CIBS as a significant separate group and/or regional agglomeration","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130702484","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: 8
Monetary Integration in the Ex-Soviet Union: Some Preliminary Findings from Generalized PPP Theory 前苏联货币一体化:广义购买力平价理论的一些初步发现
INTL: Economic & Financial Issues (Topic) Pub Date : 2010-11-27 DOI: 10.2139/ssrn.1716002
A. Ursu
{"title":"Monetary Integration in the Ex-Soviet Union: Some Preliminary Findings from Generalized PPP Theory","authors":"A. Ursu","doi":"10.2139/ssrn.1716002","DOIUrl":"https://doi.org/10.2139/ssrn.1716002","url":null,"abstract":"In 2003, four Commonwealth of Independent States (CIS) countries established the Single Economic Space, and discussed the opportunity of forming a currency union. Recently, three of those countries took a step forward and adopted the Customs Union. The issue regarding monetary unification was discussed again at a Moscow conference. To examine the economic viability of this union, this paper applies the Generalized Purchasing Power Parity (G-PPP) theory and shows that due to the presence of asymmetric shocks and the possible surge of the Dutch disease in Ukraine and Belarus, the union might reveal to be expensive. However, when Ukraine is excluded, the three countries exhibit no asymmetric shocks.","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133330150","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: 1
Illusory Profitability of Technical Analysis in Emerging Foreign Exchange Markets 新兴外汇市场技术分析的虚幻盈利能力
INTL: Economic & Financial Issues (Topic) Pub Date : 2010-04-08 DOI: 10.2139/ssrn.1586278
P. Kuang, M. Schröder, Qingwei Wang
{"title":"Illusory Profitability of Technical Analysis in Emerging Foreign Exchange Markets","authors":"P. Kuang, M. Schröder, Qingwei Wang","doi":"10.2139/ssrn.1586278","DOIUrl":"https://doi.org/10.2139/ssrn.1586278","url":null,"abstract":"We conduct an extensive examination of the profitability of technical analysis in ten emerging foreign exchange markets. Studying 25,988 trading strategies for emerging foreign exchange markets, we find that the best rules can sometimes generate an annual mean excess return of more than 30%. Based on standard tests, we find hundreds to thousands of seemingly significant profitable strategies. However, almost all of these profits vanish once the data snooping bias is taken into account. Overall, we show that the profitability of technical analysis is illusory.","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127719376","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: 40
Psychic Distance, International Commitment, Firm Experience, International Marketing Strategy, and Export Venture Success: An Empirical Study of Austrian SMEs 心理距离、国际承诺、企业经验、国际营销策略与出口创业成功:奥地利中小企业的实证研究
INTL: Economic & Financial Issues (Topic) Pub Date : 2010-03-04 DOI: 10.2139/ssrn.1564580
M. Kostner, M. Fuchs
{"title":"Psychic Distance, International Commitment, Firm Experience, International Marketing Strategy, and Export Venture Success: An Empirical Study of Austrian SMEs","authors":"M. Kostner, M. Fuchs","doi":"10.2139/ssrn.1564580","DOIUrl":"https://doi.org/10.2139/ssrn.1564580","url":null,"abstract":"This study examines the influence of firm-specific factors, such as international marketing strategy, firm experience, psychic distance, and international commitment, on export performance in Austrian small and medium-sized enterprises (SMEs). Using survey data from 220 export ventures, this paper tests causal-effect-relationships in the proposed conceptual model, using structural equation modelling. The results of the study show that there is a twofold influence of psychic distance, commitment, and firm experience. There is evidence that this relationship is an inverted u-curve. In addition, we found that competition in foreign target markets exerts a positive effect on the adaption of marketing strategies. The results confirm that psychic distance has an impact on all measured dimensions of export success in SMEs. We found evidence that the degree of product adaptation positively influences the overall success and the profitability of export ventures, whereas the degree of price adaptation is positively related to sales growth and profitability. Our study indicates that SMEs are more successful in early stages of exporting and become less successful in later stages.","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130583916","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: 1
Size and Liquidity Effects in Japanese Regional Stock Markets 日本地区股票市场的规模与流动性效应
INTL: Economic & Financial Issues (Topic) Pub Date : 2010-01-12 DOI: 10.2139/ssrn.1535425
B. Hearn
{"title":"Size and Liquidity Effects in Japanese Regional Stock Markets","authors":"B. Hearn","doi":"10.2139/ssrn.1535425","DOIUrl":"https://doi.org/10.2139/ssrn.1535425","url":null,"abstract":"This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan's regional stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of Sapporo, Fukuoka and Nagoya where costs of equity are highest.","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128226966","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: 12
International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter? 新兴市场公司债务的国际定价:公司是否重要?
INTL: Economic & Financial Issues (Topic) Pub Date : 2010-01-01 DOI: 10.5089/9781451962475.001
A. Mody, Sonja Keller
{"title":"International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?","authors":"A. Mody, Sonja Keller","doi":"10.5089/9781451962475.001","DOIUrl":"https://doi.org/10.5089/9781451962475.001","url":null,"abstract":"We examine risk spreads charged on corporate bonds placed by emerging market borrowers on international exchanges. While global developments have an important effect on spreads, changes in firm-level default risk also matter significantly in a way consistent with theory and experience in mature markets. In contrast, except during periods of financial crisis, country factors play a limited role. These findings go against the supposition that limited information on emerging market firms or significant agency problems prevent firm-level credit discrimination by international investors. The firm-level information capitalization into spreads possibly reflects protection afforded by the exchange listing on international markets.","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132409182","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: 3
Balance Sheet Network Analysis of Too-Connected-To-Fail Risk in Global and Domestic Banking Systems 全球和国内银行体系关联过度而不能倒闭风险的资产负债表网络分析
INTL: Economic & Financial Issues (Topic) Pub Date : 2010-01-01 DOI: 10.2139/ssrn.1566442
Jorge A. Chan-Lau
{"title":"Balance Sheet Network Analysis of Too-Connected-To-Fail Risk in Global and Domestic Banking Systems","authors":"Jorge A. Chan-Lau","doi":"10.2139/ssrn.1566442","DOIUrl":"https://doi.org/10.2139/ssrn.1566442","url":null,"abstract":"The 2008/9 financial crisis highlighted the importance of evaluating vulnerabilities owing to interconnectedness, or Too-Connected-to-Fail risk, among financial institutions for country monitoring, financial surveillance, investment analysis and risk management purposes. This paper illustrates the use of balance sheet-based network analysis to evaluate interconnectedness risk, under extreme adverse scenarios, in banking systems in mature and emerging market countries, and between individual banks in Chile, an advanced emerging market economy.","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132062723","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: 67
Exiting a Private Equity Investment on the Chinese ‘A Share’ Market: The Impact of the IPO Lock-Up on Exit Valuations 退出中国a股市场私募股权投资:IPO锁定期对退出估值的影响
INTL: Economic & Financial Issues (Topic) Pub Date : 2009-12-06 DOI: 10.2139/ssrn.1519452
Svetoslav Varadzhakov
{"title":"Exiting a Private Equity Investment on the Chinese ‘A Share’ Market: The Impact of the IPO Lock-Up on Exit Valuations","authors":"Svetoslav Varadzhakov","doi":"10.2139/ssrn.1519452","DOIUrl":"https://doi.org/10.2139/ssrn.1519452","url":null,"abstract":"Private Equity investors exiting on the Chinese “A Share” markets in Shanghai and Shenzhen are subject to a compulsory 12-month lock-up, during which the sale of shares is prohibited. While this regulation aims to limit speculative investments in pre-IPO companies, it exposes private equity investors to significant liquidity, systemic and valuations risks. I evaluate the impact of the IPO lock-up on the exit valuations of private equity investments by analyzing the 1-day, 3-month and 12-month market-adjusted performance of 378 new equity issues on the Shanghai and Shenzhen stock exchanges for the period January 2004-October 2008. I document that 1) at the expiration of the lock-up IPOs earn a positive market-adjusted return of 14%, thus the IPO lock-up has a positive impact on private equity exit valuations; 2) same-sector IPO performance varies across the two “A Share” listing venues; and 3) IPOs lose 81% of their value during the first three months and additional 21% from the third month to the expiration of the IPO lock-up.","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"273 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114533221","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: 1
The Global Financial Crisis: Explaining Cross-Country Differences in the Output Impact 全球金融危机:解释产出影响的跨国差异
INTL: Economic & Financial Issues (Topic) Pub Date : 2009-12-01 DOI: 10.1016/J.JIMONFIN.2011.11.002
Pelin Berkmen, Gastón Gelos, R. Rennhack, J. Walsh
{"title":"The Global Financial Crisis: Explaining Cross-Country Differences in the Output Impact","authors":"Pelin Berkmen, Gastón Gelos, R. Rennhack, J. Walsh","doi":"10.1016/J.JIMONFIN.2011.11.002","DOIUrl":"https://doi.org/10.1016/J.JIMONFIN.2011.11.002","url":null,"abstract":"","PeriodicalId":420844,"journal":{"name":"INTL: Economic & Financial Issues (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"118213568","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: 353
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