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Does Risk Aversion Matter for Foreign Asset Holdings of Pension Funds – The Case of Poland

Abstract

In this study we explore the issue of foreign assets in mandatory pension funds portfolios. First we provide an overview of the regulatory policies regarding international assets and indicate the externalitieswhich may account for the observed differences among the CEE states. Then, taking the perspective of portfolio theory, we run a simulation study to measure the diversification benefits that may be achieved by greater international asset allocation. By applying the specific constraints and exchange rate volatility to our optimization procedure, the study reflects the perspective of the Polish pensioner. However, the findings regarding risk aversion intensity and the discussed directions of further research should be of a universal character.

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Are There Causal Relationships between Islamic versus Conventional Equity Indices? International Evidence

Abstract

This paper investigates Islamic Versus Conventional market indexes’ performance. It analyzes also their short and long term relationship by testing cointegration, causality and impulse response functions. The sample period is from 2003 to 2011 and splited into 3 sub-periods: pre, during and post subprime crisis. Our findings provide evidence that first, index performance are somewhat mixed over the different period and through the different indices under consideration, and support the hypothesis that the impact of faith-based screens on investment performance is insignificant. Second, over the three sub-periods, there is no long run relationship between the Islamic indices and their conventional counterparts’ performance, except for the Islamic emerging markets indices. Third, in the short-run, we find different causal links between Islamic Versus non-Islamic indices over the three sub-periods. This finding is robust even after testing an impulse responses functions. Our findings have important implications for international portfolio diversification.

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Monetary policy as a source of risk in international business financings and investments

Abstract

This paper aims at explaining the volatility of two main macroeconomic variables (interest rate and exchange rate) that impact the cost of international capital and, consequently, the international financing decision. Firstly, the main economic theories are called to illustrate the relevant determinants of these variables from the perspective of demand and supply of capital sides. The state intervention through monetary policy is introduced to emphasize the alteration of these prices (the price of capital, the price of foreign currencies). The paper is presenting the role of these prices in international financing decision (based on the theoretical model used to estimate cost of international capital), their impact on the foreign direct investment decision and on the international portfolio investment decision. Finally, the paper describe the economic consequences of the monetary public intervention on the financing and investment decision in direct connection with the business cycle theory. The paper associates the monetary policy to the business cycles. The paper comments the unsound solutions proposed against the economic crises and that continued to harm negatively these prices generating the seeds for next international economic recession. The paper is a theoretical one, containing some very interesting research hypothesis and opening the paths for presumable further empirical researches.

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Portfolio Diversification in the South-East European Equity Markets

-91. Shawky, H.A., Kuenzel, R. and Mikhail, A.D., 1997. International portfolio diversification: a synthesis and an update. Journal of International Financial Markets, Institutions and Money, 7(4), pp.303-327 Syriopoulos, T. and Roumpis, E., 2009. Dynamic correlations and volatility effects in the Balkan equity markets. Journal of International Financial Markets, Institutions and Money, 19(4), pp.565-587. Syriopoulos, T., 2011. Financial integration and portfolio investments to emerging Balkan equity markets. Journal of Multinational Financial Management, 21

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Constructing an Optimal Investment Portfolio for the Bank of Lithuania

. GDP in current price and the changes in CPI. http://osp.stat.gov.lt/statistiniu-rodikliu-analize1 Official statistics portal of Lithuania. State-owned asset reports. http://osp.stat.gov.lt/valstybesturtas Schmittmann, J. M., (2010), Currency Hedging for International Portfolios, IMF Working Paper, Finance Department, International Monetary Fund, p.4-41 Sharpe, William F. (1966), Mutual Fund Performance, Journal of Business, p. 119-138 The Annual Review (2010), Lietuvos valstybės komercinio naudojimo

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FIIs and Indian Stock Market: A Causality Investigation

Volatility in Emerging Equity Markets , Paper presented at International Conference on Finance, National Taiwan University, Taiwan Bekaert G., Campbell R. Harvey. (2000), Foreign Speculators and Emerging Equity Markets , ‘Journal of Finance’, Vol. LV, No. 2, pp. 343-361 Bohn H., Linda L. Tesar. (1996), US Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing? , ‘American Economic Review’, Vol. 86, May Brennan Michael J., H. Henry Cao. (1997), International Portfolio

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To What Extent are Stock Returns Driven by Mean and Volatility Spillover Effects? – Evidence from Eight European Stock Markets

Davidson Institute Working Paper, 983. GILMORE C.G., MCMANUS, M.G. (2002). International portfolio diversification: US and Central European equity markets, Emerging Markets Review .3(1), pp. 69-83. DOI: 10.1016/S1566-0141(01)00031-0. ÉGERT, B., KOUBAA, Y. (2004). Modelling Stock Returns in the G-7 and in Selected CEE economies: A Non-linear GARCH Approach. William Davidson Institute Working Paper , No. 663. DVORAK, T., PODPIERA, R. (2006). European Union Enlargement and Equity Markets in Accession Countries. Emerging

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Causality Analysis Between Stock Market Indices

, vol. 20, no. 4, pp. 717-732. Syriopoulos T., 2004, International portfolio diversification to Central European stock markets , Applied Financial Economics, vol. 14, no. 17, pp. 1253-1268. Tavares J., 2009, Economic integration and the co-movement of stock returns , Economics Letters, vol. 103, no. 2, pp. 65-67. Tintin C., 2013, The determinants of foreign direct investment inflows in the Central and Eastern European Countries: The importance of institutions , Communist and Post-Communist Studies, vol. 46, no. 2, pp. 287-298. Yang L., Tapon

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Emergence of Commodity Derivatives as Defensive Instrument in Portfolio Risk Hedging: A Case of Indian Commodity Markets

International Stock Markets, International Research Journal of Finance and Economics , 47, 2010, 82-91 Walid S, Abanomey and lke Mathur (1999), “The Hedging Benefits of Commodity Futures in International Portfolio Diversification”, The Journal of Alternative Investments , Vol 2, No.3: pp51-62 You, L. and Daigler, R. T. (2013), “A Markowitz Optimization of Commodity Futures Portfolios”, Journal of Future Markets , Vol. 33: 343–368

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Financial Literacy and Stock Price Informativeness: a Cross-Country Study

, 22, 601–644 Fressard L. (2012) Cash savings and Stock Price Informativeness, 16(4), 985-1012 Giofre M. (2017) Financial education, investor protection and international portfolio diversification, Journal of International Money and Finance, 71, 111-139 Graham J., Harvey C., Huang H. (2009) Investor competence, trading frequency, and home bias, Management Science, 55(7), 1094–1106 Hastings J.S., Madrian B.C., Skimmyhorn W.L. (2013) Financial Literacy, Financial Education and Economics Outcomes, Annual Review of Economics, 1 (5), 347

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