ABSTRACT This study investigates the predictive relationship of the “dispersion” of stock sectors on sector returns and total market returns in the emerging markets. For comparison, both the United States and the World-Ex US are also analyzed from 1995 through June 2020. The results show that sector dispersion significantly predicts most sector returns and the total market return in the US. Fewer World-Ex US stock sectors are significantly predicted along with the World-Ex US total market returns. Emerging market sectors and total market returns are not predicted by emerging market dispersion. Keywords emerging markets, sectors, dispersion

ABSTRACT This study examines the potential diversification benefits of adding emerging market bonds to portfolio of US stocks from July 2004 through July 2019. The results indicate that relatively higher returns can be earned by investing in local currency emerging market bonds during the full sample period. While emerging market bonds offer diversification benefits, they do not provide a hedge to portfolio risk. In times of economic/political turmoil, emerging market bonds do not afford a safe haven. The greatest hedging benefits (among bonds) are provided by investing in diversified portfolio of US bonds. To a lessor degree, hedging benefits are also achieved through investment in a diversified portfolio of international bonds from developed countries. Keywords bonds, emerging markets, diversification, hedge

ABSTRACT This study examines the potential risk reducing benefits of Bitcoin against systemic risk in 28 countries from 2011-2020. The results indicate that Bitcoin provides a safe haven in times of extreme financial market volatility and during periods of financial crisis. Keywords Bitcoin, Covid-19, Dynamic conditional correlation, Pandemic, Systemic risk, Safe haven

ABSTRACT This paper tests the characteristics of oil-linked currencies to hedge the against changes in the price of oil from January 1998 through October 2018. The findings show that all four currencies tested (Canadian dollar, Mexican peso, Norwegian krone, and Russian ruble) are positively related to price changes in oil. While statistically significant, the nature of that relationship is not constant over time and is not consistent between all four currencies. Specifically, the linkage between oil-linked currencies and oil appears much greater in the last half of the sample compared with the first half. Also, the strength of the relationship is reduced during the most extreme price changes in the oil market. Keywords Oil, foreign exchange, correlation, hedge, causality

ABSTRACT This paper tests equity REIT and mortgage REIT indexes as a hedge and safe haven asset against U.S. stock risk from September 2000 through September 2017. The findings indicate that both REIT indexes are an ineffective hedge due to the consistent positive relationship between REITs and stocks. REIT indexes fail to provide a significant safe haven in times of extreme stock market volatility. However, the REIT indexes provide a strong or weak safe haven during two periods of turmoil including the 9/11 attack and the 2016 U.K. vote to leave the E.U. (Brexit). Both REIT indexes show potential as diversifier assets in a stock portfolio. Keywords REIT, Time-varying correlation, GARCH, Hedge, Safe haven

This paper tests short-term and mid-term VIX indexes as a hedge and safe haven asset against U.S. stock risk from January 2006 through July 2016. GARCH dynamic conditional correlation analysis indicates that VIX indexes are an effective hedge due to the consistent inverse relationship between the VIX indexes and stocks. VIX indexes are either a strong or weak safe haven in times of extreme stock market volatility. Additionally, VIX indexes provide a strong safe haven during recent periods of turmoil including the 2008 global financial crisis, the 2011 downgrade of the U.S. government triple-A credit rating, and the 2016 U.K. vote to leave the E.U. (Brexit).

This paper tests sovereign credit default swaps (CDS) as a hedge and safe haven asset against stock index returns in a sample of 18 emerging markets from 2005-2014. GARCH dynamic conditional correlation analysis indicates that CDS are an effective hedge due to the consistent inverse relationship between CDS and the stock indexes of each country. CDS are largely a weak safe haven in times of extreme stock market volatility. However, during the 2008 U.S. financial crisis and the 2010 European debt crisis, CDS provide either a strong or weak safe haven in most countries.

This paper tests the risk reduction properties of hedge fund investing against a sample of stocks ranging from 1990 through 2014. GARCH dynamic conditional correlation analysis indicates that hedge funds are a significant diversifier due to the consistent imperfect relationship between the hedge fund returns and the stock return indexes. Hedge funds serve as a weak safe haven in times of extreme stock market volatility. During periods of financial crisis, hedge funds also largely function as a weak safe haven. In contrast to their name, hedge funds do not provide a traditional “hedge” against stock risk.

Investors derive the greatest risk reduction benefit from portfolio diversification by holding assets with a low co-movement. As correlations between stocks worldwide have been increasing over time, interest in alternative assets such as commodities is also rising. This study examines the risk reducing properties of commodity investment from the perspective of 10 emerging markets from January 1991 through December 2013. Tests of GARCH dynamic conditional correlation coefficients indicate that commodities are portfolio diversifiers, but do not provide a significant long-term hedge. In times of extreme stock market volatility commodities provide a weak safe haven against risk in most countries. During the 1994-95 Mexican peso crisis, the 1997-98 Asian currency crisis, and the 9/11/01 attack, commodities demonstrate significant safe haven properties. However, commodities do not offer significant risk reduction in the 2008 global financial crisis and the 2010 European debt crisis.

This study tests gold as a hedge and safe haven asset against systemic risk in 21 emerging and developed countries from 1979 to 2012. Generalized autoregressive conditional heteroskedasticity (GARCH) dynamic conditional correlation analysis indicates that gold serves as an effective hedge against systemic risk. Gold also provides a safe haven in times of extreme market volatility and during periods of financial crises in most countries. TOPICS:Commodities, global, statistical methods, financial crises and financial market history

This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock market sectors from 2004 to 2011. Tests of GARCH dynamic conditional correlation coefficients indicate that CDS serve as an effective hedge against risk in all stock sectors. CDS also provide a safe haven in times of extreme stock market volatility and during periods of financial crisis in a limited number of sectors.

The 1990 census and numerous studies have shown that minorities and immigrants, as a whole, are less likely to be homeowners than native-born whites, even after controlling for income. This article synthesizes the findings from a four-site ethnographic study that explored this disparity by investigat- ing homeownership and home-financing processes in specific minority and immigrant communities. The ethnographic studies highlight the interaction of cultural, social, and economic influences by contrasting the experiences of different ethnic groups in different housing markets. Four major shortfalls were identified, which if corrected might enable more minorities and immigrants to become home- owners: (1) the lack of appropriate, affordable housing; (2) the limitations of existing financial tools; (3) the lack of home-purchasing knowledge, credit knowledge, and credit judgment; and (4) cultural gaps, misunderstandings, and biases that distance minority and ethnic group members from mainstream real estate and mortgage lending institutions.

This article investigates the use of gold as an investment asset. The data consist of U.S. and foreign equity returns from 1975 to 2005. The results indicate that investment in gold is inferior to a simple buy-and-hold strategy of U.S. equities over the long term. Gold is often believed to provide potential as a defensive asset, given its low correlation with U.S. equities. However, a portfolio optimization technique using actual and simulated data indicates that the long-term portfolio benefits of holding gold are marginal at best TOPICS:Other real assets, portfolio management/multi-asset allocation, performance measurement

Jn this paper, we use a novel application of the Capital Assets Pricing Model (CAPM) with country betas to determine if U.S. investors would benefit by adding iShares exchange-traded country index funds into their portfolios. Our findings indicate that U.S. investors would benefit by including any o f the 21 iShares country index funds studied in the paper in their portfolios. We also use the Markowitz mean-variance portfolio optimization approach to determine which iShares country index funds can make the greatest contribution to global portfolios. We find that U.S. investors could increase the portfolio return per unit of volatility risk by increasing the foreign investment component in their global portfolios.

ABSTRACT Empirical studies show that correlation between national equity markets tends to increase and the benefits of global portfolio diversification tend to decrease after events of global importance. A sufficiently long time period has passed since the September 11, 2001 terrorist attacks on the U.S. This time period provides a valuable opportunity to study if these events have changed the long-term co-movement patterns of international equity markets. We test this hypothesis using correlation analysis, principal components analysis and Granger causality statistical techniques by comparing the co-movement patterns of seven Latin American equity markets and the U.S. and Canadian equity markets during the five-year period before September 11 and during the five-year period afterward. Despite the findings of several previous studies on the world's other equity markets, our findings in this study indicate that correlation between the equity markets on the American continent decreased and the benefits of global portfolio diversification in the region increased after September 11, 2001. RESUMEN. Los estudios empíricos muestran que la correlación entre los mercados de valores nacionales tiende a aumentar, mientras que las ventajas de la diversificación de la cartera global tienden a disminuir después de importantes eventos globales. Ya ha transcurrido suficiente tiempo desde el ataque terrorista del 11 de septiembre de 2001 en los Estados Unidos, Esto brinda una valiosa oportunidad para estudiar si estos eventos han cambiado los patrones de comovimiento a largo plazo de los mercados de valores nacionales. Ponemos a prueba esta hipótesis, los principales componentes del análisis, y las técnicas de la estadística causal comparadas por los patrones de comovimiento en los siete mercados de valores latinoamericanos, y los de los EE.UU y Canadá, durante el período quinquenal anterior al 11 de septiembre y durante el período quinquenal posterior a esa fecha. A pesar de los hallazgos que obtuvieron diversos estudios anteriores sobre los mercados de valores mundiales, nuestros hallazgos en este estudio indican que la correlación entre los mercados de valores en el continente americano ha bajado, y que los beneficios de la diversificación de la cartera global aumentaron en la región después del 11 de septiembre de 2001. RESUMO. Estudos empíricos mostram que a correlação entre os mercados de ações nacionais tendem a aumentar e os benefícios da diversificação do portfólio global tendem a decrescer após acontecimentos de importância mundial. Um período bem longo transcorreu desde os ataques terroristas de 11 de setembro de 2001, nos Estados Unidos. Isto propicia uma oportunidade valiosa para analisar se estes acontecimentos mudaram os padrões de cointegração de longo prazo dos mercados de ações nacionais. Testamos esta hipótese através da análise de correlação, da análise dos componentes principais e das técnicas estatísticas de causalidade de Granger, comparando os padrões de cointegração de sete mercados de ações da América Latina e os mercados de ações americano e canadense, durante o período de cinco anos antes e depois do 11 de setembro. Apesar da descoberta de vários estudos anteriores sobre os demais mercados de ações do mundo, nossas descobertas neste trabalho indicam que a correlação entre os mercados de ações do continente americano decresceu e os benefícios de diversificação do portfólio mundial, na região, aumentaram, após o 11 de setembro de 2001.

This paper investigates the lead/lag relationship between the variation of the 10 primary sector indexes (sector dispersion) with market returns and market volatility. The sample consists of U.S. data from January 1974 through December 2003. This study documents a statistically significant lead/lag relationship between sector dispersion and both market returns and market volatility. Asymmetry analysis reveals that high sector dispersion is a consistent predictor of market volatility. Dispersion is found to be an effective predictor of bear market volatility, and both bull market and bear market returns.

In this paper, principal components analysis and Granger causality tests are used to study the portfolio diversification implications of the co-movements of sector indexes in the US, UK, German, French, and Japanese stock markets in bull and bear markets. We find that, in a bull market, investors can obtain more benefit with global diversification than with domestic diversification even if they invest in the same sector in different countries as opposed to investing in different sectors within the same country. In a bear market, the sectors of different countries tend to be more closely correlated and country diversification opportunities are limited.

This paper investigates the lead/lag relationship between the returns ofa countrys stock market index and 10 primary sector index returns. The sample consists of the Group of Seven (G-7) industrialized countries from January 1974 through December 2003. . This study documents a statistically significant lead/lag relationship between sector returns and the stock market index returns in all seven countries. No sector is consistently significant across countries. The results ofthis study support the gradual information diffusion hypothesis: information travels slowly between asset classes.

One of the main reasons that investment advisors recommend international investments is that foreign stocks are not highly correlated with U.S. stocks. As world economies become increasingly interrelated, it may become more difficult for investors to achieve effective diversification. This research investigates international stock market correlation, and assesses whether global diversification on a sector basis is beneficial to U.S. investors. This analysis includes 38 developed and emerging stock markets from 1981-2000. In addition to demonstrating a potential loss of diversification benefits, this paper utilizes an optimal global asset allocation model to illustrate the effects of sector diversification on portfolio performance over time.

This study examines the cross‐autocorrelation of size‐based portfolio returns in a sample of 15 major European markets using daily data from January 1990 through December 1999. Previous studies have primarily used U.S. data. This study extends previous research by considering results in multiple European exchanges. We examine whether a difference in size‐based portfolios exists by testing cross‐autocorrelation, granger‐causality, and asymmetric responses in the European markets. The results confirm that large stock portfolio returns lead small stock portfolio returns in most European countries, and that cross‐autocorrelation is present both within and between European financial markets.