The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach
Y Han, J Li - International Review of Financial Analysis, 2023 - Elsevier
This paper investigates the asymmetric impact of global economic policy uncertainty (GEPU)
on global asset allocation. We employ the Double Asymmetric GARCH-MIDAS (DAGM) …
on global asset allocation. We employ the Double Asymmetric GARCH-MIDAS (DAGM) …
The role of political risk, uncertainty, and crude oil in predicting stock markets: Evidence from the UAE economy
This study examines how the determinants of the political risk factor affect the forecasting
performance of the United Arab Emirates' stock market during the COVID-19 pandemic. The …
performance of the United Arab Emirates' stock market during the COVID-19 pandemic. The …
[HTML][HTML] A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets
Y Zheng, X Luan, X Lu, J Liu - International Review of Financial Analysis, 2023 - Elsevier
With the fragile recovery of world economy and increasing financial uncertainty, global
capital allocations and risk management become more sensitive to the risk spillover and …
capital allocations and risk management become more sensitive to the risk spillover and …
[HTML][HTML] Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes
The study aims to contribute to the better understanding of potential diversification benefits
for US and its major trading partners, namely Canada, Japan, and the UK, across both …
for US and its major trading partners, namely Canada, Japan, and the UK, across both …
The effect of the China Connect
We document the effect on Chinese firms of the Shanghai (Shenzhen)-Hong Kong Stock
Connect. The Connect was an important capital account liberalization introduced in the mid …
Connect. The Connect was an important capital account liberalization introduced in the mid …
How risk perception and loss aversion affect farmers' willingness to withdraw from rural homesteads: Mediating role of policy identity
R He, Y Dai, G Sun - Heliyon, 2023 - cell.com
Government-guided withdrawal from rural homesteads is a sustainable solution to the
problem of vacant rural residential land. Nonetheless, few studies have considered the …
problem of vacant rural residential land. Nonetheless, few studies have considered the …
Possibility versus feasibility: International portfolio diversification under financial liberalization
H He, Y Chen, H Wan, S Yao - International Review of Financial Analysis, 2023 - Elsevier
Financial liberalization may have double-edged impacts on international portfolio
diversification since it increases financial market integration and market correlation …
diversification since it increases financial market integration and market correlation …
Spillover effects of MSCI inclusion announcement: Evidence and implications from China
Z Wei, D Wu, A Zeng, B Li - Pacific-Basin Finance Journal, 2024 - Elsevier
We investigate the price reactions of stocks that would not be included in the MSCI global
indices to the MSCI inclusion announcement. We document a positive revaluation effect for …
indices to the MSCI inclusion announcement. We document a positive revaluation effect for …
Shadow Banking, Stock Market Volatility, and Stock-Money Market Correlation: Evidence from China
M Liu, HF Liu, CC Lee - Emerging Markets Finance and Trade, 2024 - Taylor & Francis
The study on the relationship between shadow banking (SB) and stock market volatility is
scarce. Based on sample data from January 2006 to May 2024, this paper dives deep to …
scarce. Based on sample data from January 2006 to May 2024, this paper dives deep to …
Price comovement and market segmentation of Chinese A-and H-shares: Evidence from a panel latent-factor model
This paper examines the price comovement of cross-listed Chinese A-and H-shares using a
panel model with latent factors and a heterogeneous long-run structure. Our model is more …
panel model with latent factors and a heterogeneous long-run structure. Our model is more …