Portfolio rebalancing and the dynamics between equity flow, exchange rates and equity returns
In this paper we use simple panel regression augmented by a VAR framework and impulse response function to test the presence of portfolio rebalancing between US and 7 developed countries. We find that overall portfolio rebalancing does hold, however some countries in the sample, specifically Austral...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2018
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| Online Access: | https://eprints.nottingham.ac.uk/53716/ |