IDEAS home Printed from https://ideas.repec.org/r/eee/jbfina/v18y1994i4p775-803.html
   My bibliography  Save this item

Sources of risk and expected returns in global equity markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004. "The determinants of stock returns in a small open economy," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 167-185.
  2. Karl Ludwig Keiber & Helene Samyschew, 2015. "The role of sentiment in global risk premia," Applied Economics, Taylor & Francis Journals, vol. 47(20), pages 2073-2091, April.
  3. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  4. Guesmi, Khaled & Teulon, Frederic & Muzaffar, Ahmed Taneem, 2014. "The evolution of risk premium as a measure for intra-regional equity market integration," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 13-19.
  5. Mokni, Khaled & Youssef, Manel, 2019. "Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 14-33.
  6. repec:dgr:rugsom:03e22 is not listed on IDEAS
  7. Mr. Marco Del Negro & Mr. Robin Brooks, 2005. "A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns," IMF Working Papers 2005/052, International Monetary Fund.
  8. Narayan, Paresh Kumar & Narayan, Seema & Thuraisamy, Kannan Sivananthan, 2014. "Can institutions and macroeconomic factors predict stock returns in emerging markets?," Emerging Markets Review, Elsevier, vol. 19(C), pages 77-95.
  9. Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Books, National Bureau of Economic Research, Inc, number fran94-1, March.
  10. Liljeblom, Eva & Loflund, Anders & Krokfors, Svante, 1997. "The benefits from international diversification for Nordic investors," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 469-490, April.
  11. Ferson, Wayne E. & Harvey, Campbell R., 1997. "Fundamental determinants of national equity market returns: A perspective on conditional asset pricing," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1625-1665, December.
  12. Hsin, Chin-Wen, 2004. "A multilateral approach to examining the comovements among major world equity markets," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 433-462.
  13. Lim, G.C., 2005. "Currency risk in excess equity returns: a multi time-varying beta approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 189-207, July.
  14. Hodrick, Robert & Vassalou, Maria, 2002. "Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1275-1299, July.
  15. Charles, Lee & David, Ng, 2002. "Corruption and International Valuation: Does Virtue Pay?," MPRA Paper 590, University Library of Munich, Germany, revised Oct 2006.
  16. Robin Brooks & Marco Del Negro, 2006. "Firm-Level Evidence on International Stock Market Comovement," Review of Finance, European Finance Association, vol. 10(1), pages 69-98.
  17. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2012. "Oil prices, exchange rates and emerging stock markets," Energy Economics, Elsevier, vol. 34(1), pages 227-240.
  18. Khaled Guesmi & Frédéric Teulon, 2014. "The determinants of regional stock market integration in middle east: A conditional ICAPM approach," International Economics, CEPII research center, issue 137, pages 22-31.
  19. Alhassan, Abdulrahman & Basher, Syed Abul & Kabir Hassan, M., 2019. "Oil subsidies and the risk exposure of oil-user stocks: Evidence from net oil producers," Resources Policy, Elsevier, vol. 61(C), pages 461-472.
  20. Aggarwal, Raj & Akhigbe, Aigbe & Mohanty, Sunil K., 2012. "Oil price shocks and transportation firm asset prices," Energy Economics, Elsevier, vol. 34(5), pages 1370-1379.
  21. Marc-Gregor Czaja & Hendrik Scholz & Marco Wilkens, 2009. "Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure," Review of Quantitative Finance and Accounting, Springer, vol. 33(1), pages 1-26, July.
  22. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan S., 2015. "Can governance quality predict stock market returns? New global evidence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 367-380.
  23. El. Thalassinos & Th. Kiriazidis, 2003. "Degrees Of Integration In International Portfolio Diversification: Effective Systemic Risk," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 119-130, January -.
  24. Anders Johansson & Lars Rolseth, 2001. "The effects of firm-specific variables and consensus forecast data on the pricing of large Swedish firms' stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 373-384.
  25. Akila Rubaiyath & Raad Mozib Lalon, 2022. "Investigating the Impact of Bank-specific Determinants on Stock Price of Listed Commercial Banks: Evidence from Emerging Economy," International Journal of Economics and Financial Issues, Econjournals, vol. 13(4), pages 134-142, July.
  26. Rodolfo Aquino, 2004. "A multifactor model of Philippine stock returns using latent macro risk factors," Applied Economics Letters, Taylor & Francis Journals, vol. 11(15), pages 961-968.
  27. Khan, Nasir & Saleem, Asima & Ozkan, Oktay, 2023. "Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach," Resources Policy, Elsevier, vol. 81(C).
  28. Suparna Chakraborty & Yi Tang & Liuren Wu, 2015. "Imports, Exports, Dollar Exposures, and Stock Returns," Open Economies Review, Springer, vol. 26(5), pages 1059-1079, November.
  29. Davide Lombardo & Marco Pagano, 1999. "Legal Determinants of the Return on Equity," CSEF Working Papers 24, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 01 Dec 2000.
  30. Kumar Patro, Dilip, 2000. "Return behavior and pricing of American depositary receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 43-67, January.
  31. Colin T. Bowers & Chris Heaton, 2013. "What does high-dimensional factor analysis tell us about risk factors in the Australian stock market?," Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1395-1404, April.
  32. Marina Emiris, 2002. "Measuring capital market integration," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 200-221, Bank for International Settlements.
  33. Hjalmarsson, Erik, 2010. "Predicting Global Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(1), pages 49-80, February.
  34. Algieri, Bernardina & Leccadito, Arturo, 2017. "Assessing contagion risk from energy and non-energy commodity markets," Energy Economics, Elsevier, vol. 62(C), pages 312-322.
  35. Dimitriou, Dimitrios & Simos, Theodore, 2011. "Monetary Union effects on European stock market integration: An international CAPM approach with currency risk," MPRA Paper 37477, University Library of Munich, Germany.
  36. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
  37. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  38. Patro, Dilip K. & Wald, John K. & Wu, Yangru, 2002. "Explaining exchange rate risk in world stock markets: A panel approach," Journal of Banking & Finance, Elsevier, vol. 26(10), pages 1951-1972, October.
  39. Kodongo, Odongo & Ojah, Kalu, 2011. "Foreign exchange risk pricing and equity market segmentation in Africa," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2295-2310, September.
  40. Shieldvie Halim & Rayenda Brahmana & Aldrin Herwany, 2011. "The Seasonality of Market Integration: The Case of Indonesia’s Stock Markets," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 59, pages 177-190, August.
  41. Wayne Ferson & Campbell R. Harvey, 1994. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Chapters, in: The Internationalization of Equity Markets, pages 59-147, National Bureau of Economic Research, Inc.
  42. Mateus, Tiago, 2004. "The risk and predictability of equity returns of the EU accession countries," Emerging Markets Review, Elsevier, vol. 5(2), pages 241-266, June.
  43. Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021.
  44. Khaled Khaled & Amel Belanes & Sandrine Kablan, 2018. "The regional pricing of risk: An empirical investigation of the MENA Region," Economics Bulletin, AccessEcon, vol. 38(2), pages 751-760.
  45. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
  46. Nguyen, Pascal, 2007. "Macroeconomic factors and Japan's industry risk," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 173-185, April.
  47. Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 235-245.
  48. Ramos, Sofia B. & Veiga, Helena, 2011. "Risk factors in oil and gas industry returns: International evidence," Energy Economics, Elsevier, vol. 33(3), pages 525-542, May.
  49. Dionysia Dionysiou, 2015. "Choosing Among Alternative Long-Run Event-Study Techniques," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 158-198, February.
  50. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
  51. Guesmi, Khaled & Kablan, Sandrine & Belgacem, Aymen, 2015. "The regional pricing of risk: An empirical investigation of the MENA equity determinants," MPRA Paper 70271, University Library of Munich, Germany, revised 2015.
  52. Bee-Hoong Tay & Pei-Tha Gan, 2016. "The Determinants of Investment Rewards: Evidence for Selected Developed and Developing Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1180-1188.
  53. Alcock, Jamie & Sinagl, Petra, 2022. "International determinants of asymmetric dependence in investment returns," Journal of International Money and Finance, Elsevier, vol. 122(C).
  54. Shripad Ramchandra Marathe & Guntur Anjana Raju, 2020. "Does Crude Oil Prices have Effect on Exports, Imports and GDP on BRICS Countries? - An Empirical Evidence," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 524-528.
  55. Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012. "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 425-460.
  56. Steven Beach & Alexei Orlov, 2007. "An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(2), pages 147-166, June.
  57. Syed Abul Basher & Alfred Haug & Perry Sadorsky, 2017. "The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach," Working Papers 1710, University of Otago, Department of Economics, revised Oct 2017.
  58. Antoniou, Antonios & Garrett, Ian & Priestley, Richard, 1998. "Calculating the equity cost of capital using the APT: the impact of the ERM," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 949-965, December.
  59. Michael Donadelli, 2013. "On the Dynamics of Industrial Stock Market Excess Returns," Working Papers CASMEF 1301, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  60. Wayne E. Ferson & Campbell R. Harvey, 1999. "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers 6967, National Bureau of Economic Research, Inc.
  61. Carlos Enrique Carrasco Gutierrez & Wagner Piazza Gaglianone, 2008. "Evaluating Asset Pricing Models in a Fama-French Framework," Working Papers Series 175, Central Bank of Brazil, Research Department.
  62. Wolfgang Drobetz & Tim Richter & Martin Wambach, 2012. "Dynamics of time-varying volatility in the dry bulk and tanker freight markets," Applied Financial Economics, Taylor & Francis Journals, vol. 22(16), pages 1367-1384, August.
  63. Patro, Dilip Kumar, 2001. "Measuring performance of international closed-end funds," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1741-1767, September.
  64. Hueng, C. James, 2014. "Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets?," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 28-38.
  65. Tai, Chu-Sheng, 1999. "Time-varying risk premia in foreign exchange and equity markets: evidence from Asia-Pacific countries," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 291-316, November.
  66. K.W. Chau & Bryan D. MacGregor & Gregory M. Schwann, 2001. "Price discovery in the Hong Kong real estate market," Journal of Property Research, Taylor & Francis Journals, vol. 18(3), pages 187-216.
  67. Kouwenberg, Roy & Salomons, Roelof, 2003. "Value investing in emerging markets : local macroeconomic risk and extrapolation," Research Report 03E22, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  68. Lin, Boqiang & Wesseh, Presley K. & Appiah, Michael Owusu, 2014. "Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness," Energy Economics, Elsevier, vol. 42(C), pages 172-182.
  69. Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
  70. Vassalou, Maria, 2000. "Exchange rate and foreign inflation risk premiums in global equity returns," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 433-470, June.
  71. Drobetz, Wolfgang & Gounopoulos, Dimitrios & Merikas, Andreas & Schröder, Henning, 2013. "Capital structure decisions of globally-listed shipping companies," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 49-76.
  72. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
  73. Keiber, Karl Ludwig & Samyschew, Helene, 2016. "The pricing of sentiment risk in European stock markets," Discussion Papers 384, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  74. Khaled Guesmi & Olfa Kaabia & Ilyes Abid, 2017. "ASEAN Plus Three Stock Markets Integration," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(3), pages 565-581, September.
  75. Zhenhua Liu & Zhihua Ding & Rui Li & Xin Jiang & JyS. Wu & Tao Lv, 2017. "Research on differences of spillover effects between international crude oil price and stock markets in China and America," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 88(1), pages 575-590, August.
  76. Cakici, Nusret & Zaremba, Adam, 2023. "Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
  77. Yao, Juan & Alles, Lakshman, 2006. "Industry return predictability, timing and profitability," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 122-141, April.
  78. Hooper, Vince & Sim, Ah Boon & Uppal, Asfandyar, 2009. "Governance and stock market performance," Economic Systems, Elsevier, vol. 33(2), pages 93-116, June.
  79. Zaremba, Adam & Cakici, Nusret & Bianchi, Robert J. & Long, Huaigang, 2023. "Interest rate changes and the cross-section of global equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
  80. Ferreira, Paulo & Pereira, Éder & Silva, Marcus, 2020. "The relationship between oil prices and the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  81. Azher, Sara & Iqbal, Javed, 2016. "Pricing of foreign exchange risk and market segmentation: Evidence from Pakistan's equity market," Journal of Asian Economics, Elsevier, vol. 43(C), pages 37-48.
  82. Khan, Salman, 2010. "Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case," MPRA Paper 22978, University Library of Munich, Germany.
  83. Bianconi, Marcelo & Yoshino, Joe A., 2014. "Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector," Energy Economics, Elsevier, vol. 45(C), pages 19-32.
  84. Dennis, Steven A. & Jeffrey, Andrew, 2002. "Structural changes in Australian bank risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(1), pages 1-17, February.
  85. Humberto Valencia-Herrera & Francisco López-Herrera, 2018. "Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 96-129, April.
  86. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
  87. Cooper, Ilan & Priestley, Richard, 2011. "Real investment and risk dynamics," Journal of Financial Economics, Elsevier, vol. 101(1), pages 182-205, July.
  88. Phylaktis, Kate & Ravazzolo, Fabiola, 2004. "Currency risk in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 317-339, September.
  89. Harry J. Turtle & Chengping Zhang, 2015. "Structural breaks and portfolio performance in global equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 909-922, June.
  90. Frankel, Jeffrey A., 1994. "The Internalization of Equity Markets: Introduction," Center for International and Development Economics Research (CIDER) Working Papers 233216, University of California-Berkeley, Department of Economics.
  91. Thuraisamy, Kannan S. & Sharma, Susan Sunila & Ali Ahmed, Huson Joher, 2013. "The relationship between Asian equity and commodity futures markets," Journal of Asian Economics, Elsevier, vol. 28(C), pages 67-75.
  92. Sadorsky, Perry, 2008. "Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle," Energy Policy, Elsevier, vol. 36(10), pages 3854-3861, October.
  93. Keiber, Karl Ludwig & Samyschew, Helene, 2017. "The world price of sentiment risk," Global Finance Journal, Elsevier, vol. 32(C), pages 62-82.
  94. Korkeamäki, Timo, 2011. "Interest rate sensitivity of the European stock markets before and after the euro introduction," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 811-831.
  95. Tai, Chu-Sheng, 2007. "Market integration and currency risk in Asian emerging markets," Research in International Business and Finance, Elsevier, vol. 21(1), pages 98-117, January.
  96. Chung, Hyunchul & Majerbi, Basma & Rizeanu, Sorin, 2015. "Exchange risk premia and firm characteristics," Emerging Markets Review, Elsevier, vol. 22(C), pages 96-125.
  97. Dimitrios Dimitriou & Theodore Simos, 2013. "International portfolio diversification: an ICAPM approach with currency risk," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 6(2), pages 177-189, September.
  98. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
  99. Kristjanpoller, Werner D. & Concha, Diego, 2016. "Impact of fuel price fluctuations on airline stock returns," Applied Energy, Elsevier, vol. 178(C), pages 496-504.
  100. Söhnke M. Bartram & John M. Griffin & Tae-Hoon Lim & David T. Ng, 2015. "How Important Are Foreign Ownership Linkages for International Stock Returns?," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3036-3072.
  101. Tai, Chu-Sheng, 2000. "Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 397-420, December.
  102. Cai, Charlie X. & Mobarek, Asma & Zhang, Qi, 2017. "International stock market leadership and its determinants," Journal of Financial Stability, Elsevier, vol. 33(C), pages 150-162.
  103. Donadelli, Michael & Persha, Lauren, 2014. "Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 30(C), pages 284-309.
  104. Mokni, Khaled, 2020. "A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries," Energy, Elsevier, vol. 213(C).
  105. Hammoudeh, Shawkat & Li, Huimin, 2005. "Oil sensitivity and systematic risk in oil-sensitive stock indices," Journal of Economics and Business, Elsevier, vol. 57(1), pages 1-21.
  106. Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015. "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
  107. Henriques, Irene & Sadorsky, Perry, 2010. "Can environmental sustainability be used to manage energy price risk?," Energy Economics, Elsevier, vol. 32(5), pages 1131-1138, September.
  108. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
  109. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
  110. Di Iorio, Amalia & Faff, Robert, 2002. "The pricing of foreign exchange risk in the Australian equities market," Pacific-Basin Finance Journal, Elsevier, vol. 10(1), pages 77-95, January.
  111. Kokoszka Piotr & Miao Hong & Zheng Ben, 2017. "Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price," Statistics & Risk Modeling, De Gruyter, vol. 34(1-2), pages 33-53, June.
  112. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2018. "The impact of oil-market shocks on stock returns in major oil-exporting countries," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 264-280.
  113. Campbell R. Harvey, 1994. "Conditional Asset Allocation in Emerging Markets," NBER Working Papers 4623, National Bureau of Economic Research, Inc.
  114. Wolfgang Drobetz & Rebekka Haller & Christian Jasperneite & Tizian Otto, 2019. "Predictability and the cross section of expected returns: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 508-533, December.
  115. Vassalou, Maria, 2000. "Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns," CEPR Discussion Papers 2448, C.E.P.R. Discussion Papers.
  116. Tai, Chu-Sheng, 2004. "Looking for risk premium and contagion in Asia-Pacific foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 381-409.
  117. Boamah, Nicholas Addai & Watts, Edward J. & Loudon, Geoffrey, 2016. "Investigating temporal variation in the global and regional integration of African stock markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 103-118.
  118. Carrieri, Francesca & Errunza, Vihang & Majerbi, Basma, 2006. "Local risk factors in emerging markets: Are they separately priced?," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 444-461, October.
  119. Heston, Steven L. & Rouwenhorst, K. Geert & Wessels, Roberto E., 1995. "The structure of international stock returns and the integration of capital markets," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 173-197, September.
  120. Tai, Chu-Sheng, 2003. "Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 291-311, October.
  121. Baur, Dirk G. & Dichtl, Hubert & Drobetz, Wolfgang & Wendt, Viktoria-Sophie, 2020. "Investing in gold – Market timing or buy-and-hold?," International Review of Financial Analysis, Elsevier, vol. 71(C).
  122. Ramos, Sofia B. & Veiga, Helena, 2013. "Oil price asymmetric effects: Answering the puzzle in international stock markets," Energy Economics, Elsevier, vol. 38(C), pages 136-145.
  123. Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
  124. Hodrick, Robert J & Vassalou, Maria, 2001. "Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?," CEPR Discussion Papers 3056, C.E.P.R. Discussion Papers.
  125. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
  126. Rendu de Lint, Christel, 2002. "Risk profiles: how do they change when stock markets collapse?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(1), pages 59-80, February.
  127. Algieri, Bernardina & Leccadito, Arturo, 2017. "Wave after Wave: Contagion Risk from Commodity Markets," Discussion Papers 257801, University of Bonn, Center for Development Research (ZEF).
  128. Foerster, Stephen R. & Sapp, Stephen G., 2005. "Valuation of financial versus non-financial firms: a global perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 1-20, January.
  129. Beylunioglu Fuat C. & Stengos Thanasis & Yazgan M. Ege, 2017. "Detecting capital market convergence clubs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-14, June.
  130. Hooy Chee-Wooi & Robert D. Brooks, 2015. "The Components of Systematic Risk and Their Determinants in The Malaysian Equity Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 151-176.
  131. Wolfgang Drobetz & Dirk Schilling & Lars Tegtmeier, 2010. "Common risk factors in the returns of shipping stocks," Maritime Policy & Management, Taylor & Francis Journals, vol. 37(2), pages 93-120, March.
  132. Posedel Šimović, Petra & Tkalec, Marina & Vizek, Maruška & Lee, Junsoo, 2016. "Time-varying integration of the sovereign bond markets in European post-transition economies," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 30-40.
  133. Ramos, Sofía B. & Veiga, Helena, 2010. "Asymmetric effects of oil price fluctuations in international stock markets," DES - Working Papers. Statistics and Econometrics. WS ws100904, Universidad Carlos III de Madrid. Departamento de Estadística.
  134. Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W., 2008. "Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 363-386, June.
  135. Moerman, Gerard A. & van Dijk, Mathijs A., 2010. "Inflation risk and international asset returns," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 840-855, April.
  136. Polanski, Arnold & Stoja, Evarist & Zhang, Ren, 2013. "Multidimensional risk and risk dependence," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3286-3294.
  137. Robert W. Faff, 2003. "Creating Fama and French Factors with Style," The Financial Review, Eastern Finance Association, vol. 38(2), pages 311-322, May.
  138. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2021. "Dynamics of crude oil price shocks and major Latin American Equity Markets: A study in time and frequency domains," Bulletin of Economic Research, Wiley Blackwell, vol. 73(3), pages 432-455, July.
  139. Verma, Rahul & Soydemir, Gokce, 2006. "Modeling country risk in Latin America: A country beta approach," Global Finance Journal, Elsevier, vol. 17(2), pages 192-213, December.
  140. Massa, Massimo & O'Donovan, James & Zhang, Hong, 2021. "International Asset Pricing with Strategic Business Groups," CEPR Discussion Papers 15746, C.E.P.R. Discussion Papers.
  141. Ines Chaieb & Vihang Errunza & Basma Majerbi, 2013. "Do emerging markets provide currency diversification benefits?," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(1/2), pages 102-120.
  142. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
  143. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper 80495, University Library of Munich, Germany.
  144. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
  145. Adam Zaremba, 2018. "Country Risk and Expected Returns Across Global Equity Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(4), pages 374-398, September.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.