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Bénéfices de la diversification internationale des portefeuilles. Une modélisation DCC-MVGARCH

Author

Listed:
  • Montassar Zayati
  • Améni Sallemi Chaabene
  • Makram Bellalah

Abstract

In this paper, we measure the effect of financial integration on the gains from international diversification of portfolios. Our earnings analysis covers nine financial markets, which account for over 70% of global market capitalization. Two main results emerge from our analysis. On one hand, the asymmetric extension of GARCH multivariate model, with dynamic conditional correlation confirms that the gains are statistically and economically significant for all sample countries, they varied significantly in time and space, and by markets. On the other hand, the increase in market volatility has resulted, especially since the subprime crisis by lower gains from international diversification of portfolios. This would explain the preference for domestic over foreign assets. Codes J.E.L. : G10, G11, G14, G15, C01, C58

Suggested Citation

  • Montassar Zayati & Améni Sallemi Chaabene & Makram Bellalah, 2016. "Bénéfices de la diversification internationale des portefeuilles. Une modélisation DCC-MVGARCH," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(2), pages 89-123.
    • Handle: RePEc:cai:reofsp:reof_146_0089
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