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Time-varying Integration and International diversification strategies

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Cited by:

  1. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
  2. Gupta, Rakesh & Guidi, Francesco, 2012. "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 10-22.
  3. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
  4. Fratzscher, Marcel, 2012. "Capital flows, push versus pull factors and the global financial crisis," Journal of International Economics, Elsevier, vol. 88(2), pages 341-356.
  5. Gau, Yin-Feng & Hua, Mingshu & Wu, Wen-Lin, 2010. "International asset allocation for incompletely-informed investors," Journal of Financial Markets, Elsevier, vol. 13(4), pages 422-447, November.
  6. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Journal of Finance, American Finance Association, vol. 69(6), pages 2597-2649, December.
  7. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Global risk exposures and industry diversification with Shariah-compliant equity sectors," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 499-520.
  8. Vicente J. Bermejo & José M. Campa & Rodolfo G. Campos & Mohammed Zakriya, 2020. "Do foreign stocks substitute for international diversification?," European Financial Management, European Financial Management Association, vol. 26(5), pages 1191-1223, November.
  9. Giovanna Bua & Carmine Trecroci, 2019. "International equity markets interdependence: bigger shocks or contagion in the 21st century?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
  10. Faias, José A. & Ferreira, Miguel A., 2017. "Does institutional ownership matter for international stock return comovement?," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 64-83.
  11. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2024. "Diversification with globally integrated US stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
  12. Umutlu, Mehmet & Yargı, Seher Gören & Zaremba, Adam, 2023. "Market segmentation and international diversification across country and industry portfolios," Research in International Business and Finance, Elsevier, vol. 65(C).
  13. Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
  14. Cagliesi, Gabriella & Guidi, Francesco, 2021. "A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
  15. Lee, Chien-Chiang & Wang, Chih-Wei & Ho, Shan-Ju, 2020. "Financial innovation and bank growth: The role of institutional environments," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  16. Jones Odei Mensah & Gamini Premaratne, 2019. "Exploring Diversification Benefits In Asian Equity Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(03), pages 517-542, June.
  17. Arnaud Mehl, 2013. "Large global volatility shocks, equity markets and globalisation: 1885-2011," Globalization Institute Working Papers 148, Federal Reserve Bank of Dallas.
  18. Oehler, Andreas & Wendt, Stefan & Horn, Matthias, 2017. "Are investors really home-biased when investing at home?," Research in International Business and Finance, Elsevier, vol. 40(C), pages 52-60.
  19. Mobeen Ur Rehman & Syed Muhammad Amir Shah, 2016. "Does Bilateral Market and Financial Integration Explains International Co-Movement Patterns 1," IJFS, MDPI, vol. 4(2), pages 1-13, May.
  20. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
  21. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
  22. Umutlu, Mehmet & Yargı, Seher Gören, 2022. "To diversify or not to diversify internationally?," Finance Research Letters, Elsevier, vol. 44(C).
  23. Cho, Sungjun & Hyde, Stuart & Nguyen, Ngoc, 2015. "Time-varying regional and global integration and contagion: Evidence from style portfolios," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 109-131.
  24. Desislava Vladimirova, 2024. "In the shadow of country risk: asset pricing model of emerging market corporate bonds," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 479-492, September.
  25. Gębka, Bartosz & Karoglou, Michail, 2013. "Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3639-3653.
  26. Bekaert, Geert & Mehl, Arnaud, 2019. "On the global financial market integration “swoosh” and the trilemma," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 227-245.
  27. Coroneo, Laura & Jackson, Laura E. & Owyang, Michael T., 2020. "International Stock Comovements with Endogenous Clusters," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
  28. Galin K. Todorov, 2017. "Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 639-661.
  29. Pieterse-Bloem, Mary & Mahieu, Ronald J., 2013. "Factor decomposition and diversification in European corporate bond markets," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 194-213.
  30. Sulaiman Al-Jassar & Imad A. Moosa, 2020. "Country Effects, Industry Effects and the Effectiveness of International Diversification Within the GCC Region," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-18, January.
  31. Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012. "Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach," The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3711-3751.
  32. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
  33. Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong, 2014. "Correlation dynamics and international diversification benefits," International Journal of Forecasting, Elsevier, vol. 30(3), pages 807-824.
  34. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.
  35. Attig, Najah & Guedhami, Omrane & Nazaire, Gregory & Sy, Oumar, 2023. "What explains the benefits of international portfolio diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  36. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Exploring Diversification Benefits in Asia-Pacific Equity Markets," MPRA Paper 60180, University Library of Munich, Germany.
  37. Erragragui, Elias & Hassan, M. Kabir & Peillex, Jonathan & Khan, Abu Nahian Faisal, 2018. "Does ethics improve stock market resilience in times of instability?," Economic Systems, Elsevier, vol. 42(3), pages 450-469.
  38. Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2013. "Is local bias a cross-border phenomenon? Evidence from individual investors’ international asset allocation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2823-2835.
  39. Balcilar, Mehmet & Demirer, Riza & Gupta, Rangan & Wohar, Mark E., 2020. "The effect of global and regional stock market shocks on safe haven assets," Structural Change and Economic Dynamics, Elsevier, vol. 54(C), pages 297-308.
  40. Pieterse-Bloem, Mary & Qian, Zhaowen & Verschoor, Willem & Zwinkels, Remco, 2016. "Time-varying importance of country and industry factors in European corporate bonds," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 429-448.
  41. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Dependence patterns among Banking Sectors in Asia: A Copula Approach," MPRA Paper 60119, University Library of Munich, Germany.
  42. Naka, Atsuyuki & Noman, Abdullah, 2017. "Diversification of risk exposure through country mutual funds under alternative investment opportunities," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 215-227.
  43. Diyarbakirlioglu, Erkin, 2011. "Foreign equity flows and the “Size Bias”: Evidence from an emerging stock market," Emerging Markets Review, Elsevier, vol. 12(4), pages 485-509.
  44. Lieven Baele & Pilar Soriano, 2010. "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(3), pages 573-589, September.
  45. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.
  46. Thijs Markwat, 2014. "The rise of global stock market crash probabilities," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 557-571, April.
  47. Andreas Oehler & Stefan Wendt & Matthias Horn, 2016. "Internationalization of Blue-Chip versus Mid-Cap Stock Indices: an Empirical Analysis for France, Germany, and the UK," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 501-518, December.
  48. Bae, Kee-Hong & Ding, Yi & Wang, Xiaoqiao, 2020. "Relative industry valuation and cross-border listing," Journal of Banking & Finance, Elsevier, vol. 119(C).
  49. Berger, Dave & Pukthuanthong, Kuntara & Jimmy Yang, J., 2011. "International diversification with frontier markets," Journal of Financial Economics, Elsevier, vol. 101(1), pages 227-242, July.
  50. Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2015. "Improving international diversification benefits for US investors," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 64-76.
  51. Wang, Lu, 2021. "Time-varying conditional beta, return spillovers, and dynamic bank diversification strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 272-280.
  52. Erkin Diyarbakirlioglu, 2011. "Foreign equity flows and the "Size Bias" : Evidence from an emerging stock market," Post-Print hal-01127657, HAL.
  53. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach," Working Papers 201915, University of Pretoria, Department of Economics.
  54. Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
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