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Volumn 47, Issue 2, 2000, Pages 159-176

Portfolio diversification, leverage, and financial contagion

Author keywords

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Indexed keywords


EID: 0001306719     PISSN: 10207635     EISSN: None     Source Type: Book Series    
DOI: None     Document Type: Article
Times cited : (48)

References (24)
  • 1
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    • Agenor, P.-R.1    Aizenman, J.2
  • 2
    • 0001764281 scopus 로고    scopus 로고
    • Financial market contagion in the Asian crisis
    • International Monetary Fund
    • Baig, Taimur, and Ilan Goldfajn, 1999, "Financial Market Contagion in the Asian Crisis," Staff Papers, International Monetary Fund, Vol. 46 (June), pp. 167-95.
    • (1999) Staff Papers , vol.46 , Issue.JUNE , pp. 167-195
    • Baig, T.1    Goldfajn, I.2
  • 3
    • 0001183078 scopus 로고
    • On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computational results
    • Best, Michael J., and Robert R. Grauer, 1991a, "On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results," Review of Financial Studies, Vol. 4, No. 2, pp. 315-42.
    • (1991) Review of Financial Studies , vol.4 , Issue.2 , pp. 315-342
    • Best, M.J.1    Grauer, R.R.2
  • 4
    • 0026207539 scopus 로고    scopus 로고
    • Sensitivity analysis for mean-variance portfolio problems
    • _, "Sensitivity Analysis for Mean-Variance Portfolio Problems," Management Science, Vol. 37, No. 8, pp. 980-89.
    • Management Science , vol.37 , Issue.8 , pp. 980-989
  • 7
    • 0034035847 scopus 로고    scopus 로고
    • Rational contagion and the globalization of securities markets
    • _, and Enrique Mendoza, 2000, "Rational Contagion and the Globalization of Securities Markets," Journal of International Economics, Vol. 51 (June), pp. 79-113.
    • (2000) Journal of International Economics , vol.51 , Issue.JUNE , pp. 79-113
    • Mendoza, E.1
  • 9
    • 0039127350 scopus 로고    scopus 로고
    • Capital flows from emerging markets in a closing environment
    • London: Deutsche Bank
    • Folkerts-Landau, David, and Peter Garber, 1998, "Capital Flows from Emerging Markets in a Closing Environment," Global Emerging Markets, Vol. 1, No. 3 (London: Deutsche Bank).
    • (1998) Global Emerging Markets , vol.1 , Issue.3
    • Folkerts-Landau, D.1    Garber, P.2
  • 10
    • 84977720699 scopus 로고
    • The effect of volatility changes on the level of stock prices and subsequent expected returns
    • Haugen, Robert A., Eli Talmor, and Walter N. Torous, 1991, "The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns," Journal of Finance, Vol. 46 (July), pp. 985-1007.
    • (1991) Journal of Finance , vol.46 , Issue.JULY , pp. 985-1007
    • Haugen, R.A.1    Talmor, E.2    Torous, W.N.3
  • 14
    • 0003151378 scopus 로고
    • Transmission of volatility between stock markets
    • King, Mervyn A., and Sushil Wadhwani, 1990, "Transmission of Volatility between Stock Markets," Review of Financial Studies, Vol. 3, No. 1, pp. 5-33.
    • (1990) Review of Financial Studies , vol.3 , Issue.1 , pp. 5-33
    • King, M.A.1    Wadhwani, S.2
  • 15
    • 0004195938 scopus 로고    scopus 로고
    • Finance and Economics Discussion Series No. 1998-48 Washington: U.S. Board of Governors of the Federal Reserve System, Division of Research and Statistics
    • Kodres, Laura E., and Matthew Pritsker, 1998, "A Rational Expectations Model of Financial Contagion," Finance and Economics Discussion Series No. 1998-48 (Washington: U.S. Board of Governors of the Federal Reserve System, Division of Research and Statistics).
    • (1998) A Rational Expectations Model of Financial Contagion
    • Kodres, L.E.1    Pritsker, M.2
  • 17
    • 0004103584 scopus 로고    scopus 로고
    • Washington: Department of the Treasury, Board of Governors of the Federal Reserve System, Securities and Exchange Commission, Commodity Futures Trading Commission
    • President's Working Group on Financial Markets, 1999, "Hedge Funds, Leverage, and the Lessons of Long-Term Capital Management" (Washington: Department of the Treasury, Board of Governors of the Federal Reserve System, Securities and Exchange Commission, Commodity Futures Trading Commission).
    • (1999) Hedge Funds, Leverage, and the Lessons of Long-term Capital Management
  • 18
    • 0038252911 scopus 로고    scopus 로고
    • IMF Working Paper 99/136 (Washington: International Monetary Fund)
    • Schinasi, Garry J., and R. Todd Smith, 1999, "Portfolio Diversification, Leverage, and Financial Contagion," IMF Working Paper 99/136 (Washington: International Monetary Fund). Available via the Internet: http://www.imf.org/external/pubs/ft/wp/1999/wp99136.pdf.
    • (1999) Portfolio Diversification, Leverage, and Financial Contagion
    • Schinasi, G.J.1    Smith, R.T.2
  • 20
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    • Safety first and hedging
    • Telser, Lester G., 1955, "Safety First and Hedging," Review of Economic Studies, Vol. 23, No. 1, pp. 1-16.
    • (1955) Review of Economic Studies , vol.23 , Issue.1 , pp. 1-16
    • Telser, L.G.1
  • 21
    • 0039719651 scopus 로고    scopus 로고
    • The price of uncertainty
    • June 12
    • The Economist, 1999, "The Price of Uncertainty," June 12.
    • (1999) The Economist
  • 22
    • 0040905570 scopus 로고    scopus 로고
    • Bond bombshell
    • February 12
    • The Economist, 2000, "Bond Bombshell," February 12.
    • (2000) The Economist


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