In the presence of skewness, portfolio selection requires to consider competing and conflicting objectives. We utilize polynomial goal programming to determine the optimal portfolio from emerging markets industries. The first part of this paper is concerned with an industry level analysis of the effects of portfolio selection when the skewness is taken into account. The second part of the paper...

This paper investigates the role of scheduled news announcements in explaining the transmission of volatility, both within European markets and across U.S. and European ones. To this end, a novel approach is taken by employing a set of widely followed implied volatility indices. Aggregate, regional, and individual event dummies and surprise measures for U.S. and European news announcements are ...

Article history: Received 13 December 2013 Received in revised form 26 June 2015 Accepted 3 August 2015 Available online 8 August 2015 This paper investigates stock market interdependencies between Sri Lanka and selected economies in the context of its long civil war using the Dynamic Conditional Correlation (DCC) model with monthly indices (1993–2013) and through bilateral analysis. While corr...

We ask how the potential benefits from cross-border asset trade are affected by the presence of non-traded income risk in incomplete markets. We show that the mean consumption growth may be lower with full integration than in financial autarky. This can occur because: the hedging demand for risky high-return projects may fall as the investment opportunity set increases, and precautionary saving...

Article history: Received 17 August 2014 Received in revised form 16 February 2015 Accepted 30 March 2015 Available online 17 April 2015 This paper examines the asymptotic dependence between the Chinese stock market and the world crude oil market based on the Extreme Value Theory (EVT) and finds a positive extremal dependence. We explain this positive dependence in terms of economic cycles due ...

The objective of this paper is to review the transmission mechanisms uniting equity market development and economic growth in developing countries. We find that the theoretical impact of equity markets is ambiguous. At the domestic level, the allocation function of equity markets appears conditioned by the extent of informational efficiency. Turning to international linkages, theoretical models...

Stochastic dominance is theoretically superior to mean-variance (MV) analysis because it considers the entire return distribution and is based on minimally restrictive assumptions regarding investor motives. This study uses stochastic dominance to examine whether adding internationally based assets to a wholly domestic portfolio generates diversification benefits for an investor. In contrast to...

With the introduction of the Euro, a single European money market has emerged. Further wholesale financial markets are considered to be highly integrated within the European Union. However, integration in retail financial markets is less advanced. For measuring financial market integration this distinction between wholesale and retail markets becomes crucial. There is a wide literature relating...

This paper shows how a mean variance criterion can be applied to a multi period setting in order to obtain efficient portfolios in an asset and liability context. The optimization model allows for rebalancing activities, transaction costs, stochastic volatilities for both assets and liabilities. Furthermore, a general framework for the projection of pension fund liabilities as well as for the g...

Field Editor: N. Coviello Contributing to the literature on local bias and financial networks, we examine how direct and indirect network ties of financial intermediaries mitigate the effects of distance and preference for local investments. In our analysis of cross-border venture capital exits, we find that proximity within networks facilitates cross-border transactions, which suggests that ne...