Country Risk: The Significance of the Country Factor for Share-Price Movements in the United Kingdom, Germany, and Japan

Agmon, Tamir

doi:10.1086/295505

Cited by 46 publications

(25 citation statements)

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“…The first works of Grubel (1968), Levy and Sarnat (1970), Agmon (1972Agmon ( , 1973, Ripley (1973) and Solnik (1988) analyzed the benefits of international portfolio diversification. All these studies agreed that correlations among national stock market returns were low.…”

Section: Literature Reviewmentioning

confidence: 99%

Cointegration in Central and East European markets in light of EU accession

Demian¹

2011

Journal of International Financial Markets, Institutions and Mo

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Section: Literature Reviewmentioning

confidence: 99%

Cointegration in Central and East European markets in light of EU accession

Demian¹

2011

Journal of International Financial Markets, Institutions and Mo

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“…Stock market integration has been analysed by various scholars at different extents. For example early studies by Grubel (1968), Levy and Sarnat (1970), Grubel and Fadner (1971), Agmon (1972Agmon ( , 1973, Ripley (1973) and Solnik (1988) analysed the benefits of international portfolio diversification. All these studies, using different methodologies and datasets from a variety of countries, agreed that correlations among national stock market returns were low and that national speculative markets were largely responding to domestic economic fundamentals.…”

Section: Market Integrationmentioning

confidence: 99%

Comovements and correlations in international stock markets

D’Ecclesia

Costantini

2006

The European Journal of Finance

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The interrelationship between international stock markets is a key issue in international portfolio management and risk measurement. The dynamics of security returns and their risk characteristics have a crucial role in the financial market theory. Recent empirical studies have tested market efficiency measuring the degree of integration of international financial markets. These studies have shown that international markets react quickly to news but they are volatile and difficult to predict, with a changing correlation structure of security returns among countries. In this paper the nature of the relationship between the major international stock markets in Canada, Japan, UK and the US, is analysed using the common trends and common cycles approach. The presence of co-movements is investigated to try to detect a long-term stationary component, the common trend, and a short-term stationary cyclical component, among international stock markets. The implications for international portfolio management are also discussed.Common cycles, common trends, cointegration, VECM, market diversification,

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“…It is interesting to note that in a number of studies of what is known as the international asset pricing model, (IAPM), it has been found that the country factor is more pronounced than the industry or the world factors. (See Agmon (1973), and Lessard (1974). )…”

Section: The Distributive Effect Of International Trade Riskmentioning

confidence: 99%

Protection and Export Insurance: the Identification and the Measurement of International Trade Risks

Agmon

1986

Geneva Pap Risk Insur Issues Pract

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International trade risk is a complex political and economic phenomenon. Good understanding of this risk is a necessary condition to be able to deal with it. The taxonomy and the analysis provided in this paper is aimed at helping decision makers to identify the sources of international trade risk, and to manage it as a part of the financial management of the firm. The classification of the risks enables the manager to use the appropriate instruments to reduce, or eliminate different types of risks. For example, political risk should be insured by those agencies who are involved in its creation, while regular economic risks can be dealt with by the market.

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Country Risk: The Significance of the Country Factor for Share-Price Movements in the United Kingdom, Germany, and Japan

Cited by 46 publications

References 0 publications

Cointegration in Central and East European markets in light of EU accession

Cointegration in Central and East European markets in light of EU accession

Comovements and correlations in international stock markets

Protection and Export Insurance: the Identification and the Measurement of International Trade Risks

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