Portfolio rebalancing and the dynamics between equity flow, exchange rates and equity returns

QR Code

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...

Full description

Bibliographic Details
Main Author:	Chowdhury, Aysha Humayra
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2018
Online Access:	https://eprints.nottingham.ac.uk/53716/

Similar Items

Dynamic linkages between equity market and exchange market : relevant from Vietnam
by: Tiew, Catherine Siew Juan
Published: (2012)

The analysis of chasing returns strategy in equity funds
by: Iriyadi, et al.
Published: (2024)

The relationship between trades of foreign institutional and retail investors and equity return
by: Ros Zam Zam Sapian,
Published: (2015)

Portfolio optimization of equity mutual funds - Malaysian case study
by: Kilicman, Adem, et al.
Published: (2010)

Risk, return, and investor behavior in the Chinese equity market
by: Fei, Tianlun
Published: (2020)

Illiquidity Exposure of Size and Value in Malaysian Equity Returns
by: Mohamad, Jais, et al.
Published: (2016)

The Performance Of Modified Internal Rate Of Return For Equity Investment Assessment: A Markov Chain Approach
by: M A Sarsour, Waseem
Published: (2021)

Proximal linearized method for sparse equity portfolio optimization with minimum transaction cost
by: Sim, Hong Seng, et al.
Published: (2023)

Monitoring Equity and the Evaluation of Equity Monitoring Systems
by: Wilkins, Peter
Published: (2014)

Liquidity and Stock Returns: An Empirical Study of the U.K. Equity Market
by: Wang, Nana
Published: (2009)

Risk return and cost of equity of small and large casual-dining restaurants
by: Madanoglu, M., et al.
Published: (2008)

Assessing and Analysing Value Added by Private Equity/Venture Capital Firms to Portfolio Companies
by: El Shaarawy, Haytham
Published: (2011)

Consumer-based brand equity : relationship between country of origin and brand equity dimension
by: Syed Shah Alam,, et al.
Published: (2018)

Nonlinear dynamics of exchange rate returns: A multi-country experience
by: Wali, Muammer, et al.
Published: (2011)

Making Mudarabah workable: altering risk-return profiles through equity Kickers
by: Mustaffa Kamil, Nazrol Kamil, et al.
Published: (2011)

International equity portfolio investment and enforcement of insider trading laws: a cross-country analysis
by: Kwabi, Frank O., et al.
Published: (2018)

An Analysis of Internationally Diversified Portfolios Based On World Equity Markets Data from 2001-2011
by: Guan, Fang
Published: (2012)

The Resampled Method To Improve The Efficient Frontier In Minimizing Estimation Error: The Case Of Malaysia Equity Portfolios
by: Abu Mansor, Siti Nurleena
Published: (2006)

The impact of exchange rate misalignment on portfolio inflows in Malaysia
by: Mohd Sidek, Noor Zahirah, et al.
Published: (2010)

Monetary policy shocks, financial constraints and firm-level equity return: panel evidence
by: Zulkefly Abdul Karim,, et al.
Published: (2013)

Monetary policy shocks, financial constraints and firm- level equity return: Panel evidence
by: Zulkefly, Abdul Karim, et al.
Published: (2013)

Monetary Policy, Firm Size And Equity Returns In An Emerging Market: Panel Evidence Of Malaysia
by: Abdul Karim, Zulkefly, et al.
Published: (2015)

Health Equity and Healthcare Equity - Eight Themes from an Island State
by: Sanyal, S., et al.
Published: (2010)

Portfolio Management Challenges of Global Private Equity Firms Operating in the UK and the Emerging Economies: China and India
by: Sorby, Debora
Published: (2008)

A study of relationship of debt ratio, return on asset & return on equity on TNB financial efficiency / Khadijah Mohd Affendi
by: Mohd Affendi, Khadijah
Published: (2011)

Islamic equity market
by: Mustaffa Kamil, Nazrol Kamil
Published: (2012)

The Equity Premium in Brazil
by: Biehl, Carlos Augusto
Published: (2008)

The Equity Premium in Brazil
by: Biehl, Carlos Augusto
Published: (2008)

Equity and trust in Malaysia
by: Hingun, Mohsin, et al.
Published: (2013)

Quality and Equity in Learning
by: Mansor Fadzil,
Published: (2016)

Home equity insurance
by: Wood, Gavin, et al.
Published: (2011)

Heads we win, tails you lose: Is there equity in Islamic equity funds?
by: Mustaffa Kamil, Nazrol Kamil, et al.
Published: (2014)

An empirical analysis of exchange rate misalignment and portfolio inflows in Malaysia
by: Sidek, Noor Zahirah M., et al.
Published: (2010)

Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates
by: Ibrahim, S. N. I., et al.
Published: (2022)

Do Announcement of Private Equity Deals Generate Abnormal Returns: Evidence on Indian Capital Market
by: Shah, Vikalp
Published: (2007)

Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior
by: Gunathilaka, Chandana, et al.
Published: (2017)

Can a Statistical Understanding of Markowitz Mean Variance Efficiency Improve Portfolio Optimisation for U.K. Equities?
by: Pugh, Charles J.
Published: (2009)

A Comparison between Discounted Cash Flow and Residual Earning Models for Use in Equity Valuation
by: Niu, Jie
Published: (2005)

The nexus between equity markets and housing prices in Australia
by: Rowley, Steven, et al.
Published: (2018)

Investigating the Relationship Between Equity and Graduate Outcomes in Australia
by: Bennett, Dawn, et al.
Published: (2016)