Global portfolio diversification: risk management, market microstructure, and implementation issues
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
San Diego u.a.
Acad. Press
1995
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVI, 302 S. graph. Darst. |
| ISBN: | 012044500X |
Staff View
MARC
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| 245 | 1 | 0 | |a Global portfolio diversification |b risk management, market microstructure, and implementation issues |c ed. by Raj Aggarwal ... |
| 264 | 1 | |a San Diego u.a. |b Acad. Press |c 1995 | |
| 300 | |a XVI, 302 S. |b graph. Darst. | ||
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| 650 | 7 | |a Internationale financiën |2 gtt | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
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Record in the Search Index
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| adam_text | CONTENTS
Contributors xiii
Preface xv
1 Issues in Global Portfolio Diversification:
An Introduction
Raj Aggarwal and David C. Schirm
I. Introduction 1
II. Segmentation of Financial Markets 2
III. Research on GPD 2
IV. Some Practical Issues in GPD 3
V. An Introduction to Other Chapters 4
VI. Conclusions 6
Selected Research on Global Portfolio Diversification 6
PART ONE MANAGING RISK IN
INTERNATIONAL PORTFOLIOS
2 On the Interdependence of International
Asset Markets
Richard T. Baillie and Tim Bollerslev
I. Introduction 19
II. Hourly Exchange Rate Data 20
III. Modeling Time Varying Volatility 23
IV. Interactions between Volatility 25
V. Summary and Conclusions 26
References 27
vii
Vlii Contents
3 Foreign Exchange Risk in International Portfolios !
Richard J. Sweeney j
I. Introduction 31
II. Separating Exchange Rate Risk 33
III. Estimates of Real Exchange Rate Risk 35
IV. Does the Real Rate Have a Unity Root? 38
V. Conclusions 39
References 41
4 International Stock Markets and Fluctuations
in Exchange Rates and Other
M acroeconomic Variables
Fatemeh Ibrahimi, Lars Oxelheim, and Clas Wihlborg
I. Introduction 43
II. Macroeconomic Shocks and the Stock Market 45
III. Testable Equations and Hypotheses 46
IV. Data and Econometric Procedures 52
V. Results and Interpretations 54
VI. Conclusions 64
References 65
Comments and Discussion to Part One:
Exchange Rates and Security Prices 69
PART TWO HEDGING PORTFOLIO FOREIGN
EXCHANGE RISK 5 On Universal Currency Hedges
Michael Adler and Bhaskar Prasad
I. Introduction 81
II. Modelling Asset Demands 83
III. On the Possibility of Universal Hedge Ratios 85
IV. Conclusions 91
Appendix A: Optimal Demands for Risky Assets
and Forward Contracts 92
Appendix B: Computing Regression Hedge Ratios Using
Jensen s Inequality in Continuous Time 96
References 101
Contents ix
6 Optimal Hedging of Stock Portfolios Against
Foreign Exchange Risk: The Case of the Nikkei 225
Warren Bailey, Edward Ng, and Rene M. Stulz
I. Introduction 105
II. Hedging Foreign Stock Portfolios Against Exchange Rate Risk 106
III. The Exposure of the Nikkei 225 112
IV. Optimal Hedge Ratios 118
V. Conclusion 120
References 121
7 The Effectiveness of the French CAC 40 Futures
Contract in Risk Return Management
Thomas Schneeweis and Helyette Geman
I. Introduction 123
II. The MATIF and CAC 40 Future Contract 126
III. Data and Methodology 130
IV. Results 132
V Conclusion and Future Research 140
Appendix A 141
Appendix B 141
References 142
Comments and Discussion to Part Two:
Issues in Hedging Foreign Exchange Risk 145
PART THREE MARKET MICROSTRUCTURE AND ANOMALIES
8 International Market Microstructure
and the Pricing of ADRs
Jin Chuan Duan, Vihang Errunza,
and Arthur F. Moreau
I. Introduction 151
II. The Model 153
III. The Decision of Individual Investors 155
IV. The Decision of an Intermediary for Country D 157
V. Conclusions 160
Appendix 161
References 166
9 International Diversification When Small Firm j
Stocks are Treated as Separate Investment
Assets: An Application of the Multiperiod Model
Takato Hiraki and Hitoshi Takehara
I. Introduction 168
II. The Model 169
III. Data and Methodology 174
IV. Results 177
V. Tests for Performance Improvement 191
VI. Concluding Summary 193
Appendix A 195
Appendix B 197
References 199
10 Stock Market Anomalies:
The International Evidence
Anup Agrawal and Kishore Tandon
I. Introduction 201
II. Anomalies and the Various Explanations 203
III. Data 204
IV. Empirical Findings 206
V. Summary and Conclusions 216
References 219
Comments and Discussion to Part Three:
Microstructure Issues in Global Diversification 223
PART FOUR IMPLEMENTING GLOBAL
PORTFOLIO DIVERSIFICATION 11 Investing in Emerging Markets:
Challenges and Opportunities
Raj Agganval
I. Introduction 233
II. Advantages and Limitations of Investing
in Emerging Markets 234
Contents xi
III. The Evolution and Nature of Emerging Capital Markets 240
IV. Alternatives for Investing in Emerging Capital Markets 244
V. Securities Traded in Emerging Markets 245
VI. Emerging Market Securities Traded Domestically 246
VII. Emerging Market Mutual Funds 248
VIII. Domestically Traded Multinational Corporations 248
IX. Choosing among Alternatives 251
X. Conclusions 252
References 253
12 Regulatory Aspects of International
Portfolio Diversification
Hugh R. Haworth
I. Introduction 257
II. Demand for International Portfolio Diversification 258
III. Portfolio Investment Flows 258
IV. U.S. Based International Funds 260
V. Institutional Demand 260
VI. Obstacles and Initiatives 261
VII. Regulatory Initiatives 262
VIII. Conclusion 263
13 The World Bank s Global Bond:
Efficiency in Global Portfolio Diversification
Paul J. Sieglebaum
I. Introduction 265
II. Inefficiency in the International Capital Markets: The Need for
the Global Bond 266
III. Reducing Intermarket Friction: Designing
the Global Bond 268
IV. The Structure of the Global Bond: Product, Process,
and Procedures 270
V. Marketing the Global Bond: Something for Everyone 271
VI. The Proof of the Pudding: Assessment of Three Global Issues 272
VII. The Global Bond and Efficiency in Portfolio Diversification 274
14 Changing with the Times:
International Initiatives at the NASD
S. Willian Broka
I. NASD Mission and Objectives 277
II. We re Changing with the Times 278
xii Contents
III. NASD Initiatives—NASDAQ International i
and Portal 279
IV. NASDAQ International 279
V. Portal 280
VI. ACT and Enhanced OCT 282
Summary Comments and Concluding Discussion:
Important Issues and Future Directions 283
Author Index 291
Subject Index 297
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| spelling | Global portfolio diversification risk management, market microstructure, and implementation issues ed. by Raj Aggarwal ... San Diego u.a. Acad. Press 1995 XVI, 302 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finances internationales ram Gestion de portefeuille ram Gestion de portefeuilles ram Gestion du risque ram Internationale financiën gtt Portfolio-analyse gtt Risicoanalyse gtt International finance Portfolio management Risk management Diversifikation (DE-588)4012539-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf (DE-588)1071861417 Konferenzschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s Diversifikation (DE-588)4012539-7 s DE-604 Aggarwal, Raj Sonstige (DE-588)124543502 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006758312&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Global portfolio diversification risk management, market microstructure, and implementation issues Finances internationales ram Gestion de portefeuille ram Gestion de portefeuilles ram Gestion du risque ram Internationale financiën gtt Portfolio-analyse gtt Risicoanalyse gtt International finance Portfolio management Risk management Diversifikation (DE-588)4012539-7 gnd Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4012539-7 (DE-588)4121590-4 (DE-588)4046834-3 (DE-588)1071861417 |
| title | Global portfolio diversification risk management, market microstructure, and implementation issues |
| title_auth | Global portfolio diversification risk management, market microstructure, and implementation issues |
| title_exact_search | Global portfolio diversification risk management, market microstructure, and implementation issues |
| title_full | Global portfolio diversification risk management, market microstructure, and implementation issues ed. by Raj Aggarwal ... |
| title_fullStr | Global portfolio diversification risk management, market microstructure, and implementation issues ed. by Raj Aggarwal ... |
| title_full_unstemmed | Global portfolio diversification risk management, market microstructure, and implementation issues ed. by Raj Aggarwal ... |
| title_short | Global portfolio diversification |
| title_sort | global portfolio diversification risk management market microstructure and implementation issues |
| title_sub | risk management, market microstructure, and implementation issues |
| topic | Finances internationales ram Gestion de portefeuille ram Gestion de portefeuilles ram Gestion du risque ram Internationale financiën gtt Portfolio-analyse gtt Risicoanalyse gtt International finance Portfolio management Risk management Diversifikation (DE-588)4012539-7 gnd Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Finances internationales Gestion de portefeuille Gestion de portefeuilles Gestion du risque Internationale financiën Portfolio-analyse Risicoanalyse International finance Portfolio management Risk management Diversifikation Risikomanagement Portfolio Selection Konferenzschrift |
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