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The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
Market Properties Portfolio Diversification Stock Markets
2010/10/29
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a port...
Comovements in International Stock Markets
realized volatility realized correlation stock markets fi nancial integration economic integration
2014/6/25
In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. I...
Do Industries Lead Stock Markets?
Asset Pricing Information and Market Efficiency Financial Markets and Macroeconomy International Financial Markets
2014/3/18
We investigate whether the returns of industry portfolios are able to predict the movements of stock markets. In the U.S., we find that a significant number of industry returns, including retail, serv...