EDHEC: The Local Volatility Factor for Asian Stock Markets
Industry surveys indicate growing investments in Asian passive investment equity products commonly motivated by the expected economic growth of the region relative to the rest of the world and the resulting equity premium. Investors are typically interested more in regional and country cap-weighted indices and ETFs tracking such indices rather than sector or style indices (see Amenc et al. (2012).
On the other hand, investors and asset managers increasingly use OTC or exchange-traded
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