共查询到20条相似文献,搜索用时 15 毫秒
1.
C. Sherman Cheung Clarence C. Y. Kwan Jason Lee 《Review of Quantitative Finance and Accounting》1995,5(4):393-402
Empirical evidence by Eun and Resnick (1988), among others, has demonstrated the significance of exchange rate risk in the international asset allocation and they have noted that the risk is nondiversifiable. Yet, exchange rate risk was found by Jorion (1991) to be a risk factor that is not priced in the U.S. stock market. This study reexamines such counterintuitive results using data from the Toronto Stock Exchange. The evidence here weakly supports the pricing of the exchange rate risk. Further, the sample period in this study coincides with Jorion's to ensure that both studies examine the pricing of the exchange rate risk in the same global economic environment. The significant pricing of exchange rate risk in Canada and the insignificant pricing in the U.S. imply the possibility of market segmentation. 相似文献
2.
C. J. Frohlich 《Review of Quantitative Finance and Accounting》1991,1(4):427-434
This article examines the performance of a sample of bond, stock, and balanced funds. Close attention is paid to the bond
versus equity composition of the mutual funds and how this asset composition affects the performance measure. This research
includes the period from January 1977 through March 1984. The results of the analysis show that none of these mutual funds
categories has outperformed the market. Fund managers in this sample are unable to predict security prices consistently to
warrant the associated costs. In addition, the “goodness of fit” varied significantly between the types of funds examined. 相似文献
3.
《新兴市场金融与贸易》2013,49(2):116-132
The study of international integration of equity markets has received a great deal of interest. This paper investigates whether returns of forty-one closed-end country funds share a common volatility process with three comparable return series: the underlying net asset value (NAV), U.S. stock market returns, and foreign stock market returns. Country funds are a natural setting to test for international market integration, as they are traded in the U.S. market, whereas their underlying assets are traded in foreign stock markets. Our results indicate that only a few emerging markets' country funds share common volatility processes with their comparable asset returns. This, in turn, suggests weak linkages through the second moment of related assets. 相似文献
4.
Dongwei Su 《Asia-Pacific Financial Markets》1999,6(4):283-309
In this paper, I formulate and test a one-period capital asset pricing model under ownership restrictions to explain the price differentials between the classes of shares that can be bought by Chinese citizens and by foreign investors, respectively. I find that time-series variability in the spread between domestic and foreign share returns is consistent with differences in risk exposures and expected risk premium, thus supporting the hypothesis of effective market segmentation and price discrimination. I also find that cross-sectional differences between domestic and foreign share returns are correlated with individual shares'; market betas. The result further supports the price discrimination hypothesis. 相似文献
5.
This article investigates Asian Country Exchange-Traded Fund (ETF) price deviation with underlying due to market sentiment. By implementing a dynamic contrarian trading strategy and a buy-and-hold strategy, this article finds that significant abnormal excess trading profit can be generated by capitalizing on the overnight price reversion. The excess return generated by the dynamic strategy over buy-and-hold separates the influence of market sentiment to ETF price deviation from fundamental movements. By studying the relations between variations of the excess returns and market sentiment, the article finds that the ETF price deviation is highly influenced by market sentiment and the effect exacerbates during financial crisis and distress. 相似文献
6.
Ana Paula Serra 《European Financial Management》1999,5(2):165-202
This paper examines the effects on stock returns of dual-listing on an international exchange. My sample consists of 70 firms from 10 emerging markets that dual-listed on the NYSE, NASDAQ and SEAQ-I (London) over the period 1991–1995. I evaluate whether an international dual-listing has any significant effect on returns, for the particular case of emerging markets' firms, and I proceed to investigate whether there is evidence to support an International Asset Pricing based explanation. In addition I compare the impact of US and London SEAQ-I listings. My results confirm previous empirical findings on international listings: the firms in my sample experience significant positive abnormal returns before listing and a significant decline in returns following listing. Evidence seems to be supportive of the segmentation hypothesis: dual-listing effects are more pronounced for emerging markets' listings and that pattern is similar across exchanges.
G15 相似文献
G15 相似文献
7.
This paper constructs a multivariate model in relating multi-asset excess returns to their conditional variances. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a multivariate GARCH model shows that the foreign-exchange excess returns are significantly correlated with economic fundamentals such as the real interest-rate differential, long-short interest-rate spread differential, and equity-premium differential. The evidence also suggests that foreign-exchange excess returns are not independent of the conditional variances of these fundamental variables, supporting the time-varying risk-premium hypothesis. 相似文献
8.
James C. Brau 《Research in International Business and Finance》2009,23(1):1-17
We examine 135 Mexican closed-end fund IPOs and 370 Mexican non-fund IPOs that issued between 1994 and 2003 along with 217 contemporaneous US fund IPOs and document three primary results. First, we find that Mexican IPOs in the aggregate experience no significant underpricing, unlike their US IPO counterparts. Both Mexican and US IPOs experience significantly negative long-run performance. Second, Mexican closed-end fund IPOs experience positive long-run performance, significantly better than Mexican non-fund IPOs which experience negative long-run performance. Unlike Mexican fund IPOs, US fund IPOs experience negative long-run performance. Third, we find that both Mexican and US debt-backed closed-end fund IPOs significantly outperform equity-backed closed-end IPOs. In Mexico, debt-backed funds experience positive abnormal returns, compared to negative abnormal returns for Mexican equity-backed funds, US debt-backed funds, and US equity-backed funds. 相似文献
9.
This paper provides evidence of a significant exchange rate effect on stock index returns using data from seven selected countries practicing free-floating exchange rate regimes. This research uses parity and asset pricing theories, thus placing it within the monetary-cum-economics framework for international asset pricing. In this study, we apply a system of seemingly unrelated regression to control for unobserved heterogeneity and cross-sectional dependence. The findings constitute evidence of a statistically significant exchange rate impact on stock index returns across selected countries. These findings can be considered as falling under the arbitrage pricing approach of the international capital asset pricing model of Solnik who also used the parity-theoretical framework on exchange rate determination. 相似文献
10.
11.
波动率风险及风险价格——来自中国A股市场的证据 总被引:7,自引:2,他引:7
本文应用Fama-Macbeth估计方法,以1997年2月至2009年6月中国A股股票为样本,考察股票市场波动率风险及其风险价格的特征。研究表明:波动率风险是一个显著的横截面定价因子,其风险价格为负,该结论不受流动性及市场偏度因子、待检资产改变、波动率模型设定的影响;在资产定价模型中引入波动率风险因子有利于解释规模效应和账面市值比效应异象。波动率的风险因子可以涵盖部分宏观经济变量的定价信息,规模因子是波动率风险因子的代理变量。 相似文献
12.
银行外汇资金来源与运用涉及银行外汇业务的各个方面,尤其是银行的跨境外汇资金流动缺乏相应的监管和监测机制而导致货币政策和外汇管理政策效应的削弱。本文从银行外汇资金来源与运用角度,利用外汇现场检查中收集的数据和资料,对银行外汇资金来源与运用的现状、问题进行剖析并提出相应的政策建议。 相似文献
13.
本文对外汇占款的变化进行了分析,认为在逐渐市场化的环境下外汇市场各参与方资产配置格局发生了转变,改变了以往央行单独承担外汇占款及外汇资产风险的方式,转而由央行、商业金融机构以及其他部门共同承担,从而有利于减轻央行外汇占款冲销压力、增强货币政策独立性,并为汇率的市场化奠定良好的微观市场基础。 相似文献
14.
公共养老储备基金的资产配置策略是以储备基金的营运目标为导向制定的。设定基准投资组合、分散化的全球资产配置、重视新兴市场与社会责任投资、再平衡策略与动态资产配置策略并重等成为近年来各国共公告养老储备基金资产配置的主要特征。基于全国社会保障基金的投资实践,文章提出了制定差异化的资产配置策略以实现不同阶段目标,投资监管模式和资产配置策略同步创新以实现投资监管与投资实践良性互动,加快资产配置策略的全球布局以实现区域经济套利和人口红利套利,注重储备基金的责任投资导向、凸显养老金绿色投资功能的改革建议。 相似文献
15.
《新兴市场金融与贸易》2013,49(2):65-81
This paper investigates the hypothesis that there is a causal relation between speculative pressure and real exchange rate overvaluation, banking-sector fragility, and the level of international reserves in Turkey. An autoregressive distributed lag (ARDL) bounds-testing procedure and Granger causality within vector error-correction models (VECM) are applied to the period after the liberalization of capital flows (August 1989-August 2006). The results of the ARDL bounds test support the theory that exchange market pressure is in a long-run equilibrium relation with the three hypothesized variables over the sample period. On the other hand, the results of the short-run and long-run Granger causality tests indicate the existence of Granger causality running from the three variables to exchange market pressure. The findings further suggest that a feedback relation exists between banking-sector fragility and exchange market pressure. 相似文献
16.
Foreign exchange trading is performed in opaque and decentralized markets. The two-tier market structure consisting of a customer segment and an interdealer segment to which only market makers have access gives rise to the possibility of price discrimination. We develop a theoretical pricing model that accounts for market-power considerations and analyze a database of the trades of a foreign exchange market maker. We find that the market maker generally exerts low bargaining power vis-á-vis customers. The dealer earns lower average spreads on trades with financial customers than commercial customers, even though the former are perceived to convey exchange-rate-relevant information. 相似文献
17.
This article applies a general asset-pricing framework and the volatility bounds methodology of Hansen and Jagannathan (1991) to REIT returns. The state of real estate asset pricing remains somewhat of a puzzle relative to the identification of state variables and the structural form of models. This article offers a framework whereby real estate asset-pricing models and data can be diagnosed to answer questions about the shortcomings. In addition, several nominated discount processes are investigated for success in pricing real estate securities. Although the nominated specifications demonstrate some success in satisfying the restrictions on the first and second moments of the real estate returns distribution, they do not successfully price the securities under a no-arbitrage condition. This result calls into question previous real estate performance studies that employ these risk-adjustment processes. 相似文献
18.
《新兴市场金融与贸易》2013,49(2):87-99
This paper derives and analyzes the selectivity and market timing performance of the mutual funds for the Turkish economy for the financial crisis period by employing high-frequency data. The determinants of these derived abilities are investigated within a regression analysis. The results suggest weak evidence about selection ability and some evidence about superior market timing quality. They also indicate that management fees are negatively correlated with the ability measure, which is quite surprising. Experience emerges as an important factor, especially for market timing ability. 相似文献
19.
Vinay Datar Raymond W. So Yiuman Tse 《Review of Quantitative Finance and Accounting》2008,31(4):379-393
This article examines the intraday returns and liquidity patterns of the Standard & Poor’s Depositary Receipts (SPY) and the iShares
Morgan Stanley Capital International Inc. (MSCI) Japan Index Fund (EWJ). These exchange-traded funds seemingly have very different holdings, namely, US stocks and Japanese stocks. Our findings
suggest that some commonality exists in the returns and liquidity of these apparently different assets. First, there are intraday,
daily and monthly patterns in the measures of liquidity for both funds. Second, the measures of liquidity are correlated across
these two assets. Third, there is evidence of intraday spillover in the mean, volatility and depth from the SPY to the EWJ,
but daily spillover is not observed. Our study extends two evolving strands of the literature: the integration of world markets
in terms of returns behavior, and the other strand suggests that liquidity may have a systematic, or market-wide, component.
This paper provides direct evidence of the integration between the US and Japanese markets because contemporaneous trading
prices for the US (SPY) and Japanese (EWJ) indices are employed.
相似文献
Yiuman Tse (Corresponding author)Email: Email: |
20.
Francesca Carrieri 《European Financial Management》2001,7(2):259-290
This paper investigates the effects of liberalisation on the pricing of market and currency risk for a number of financial markets in the European Union (EU). An International Asset Pricing Model with a multivariate GARCH‐in‐Mean specification and time‐varying prices of risk is used for the four markets with the largest capitalisation in the EU. Only one price of market risk exists and international investors are rewarded for their exposure to currency risk. The evidence shows that all prices of risk are time‐varying and have been decreasing during the process of liberalisation. There is also evidence that markets react to period of uncertainty in the process toward the completion of liberalisation. In addition, the operation of the European Monetary System has generated lower covariances. As a consequence, total risk premia have declined in the last decade. 相似文献