Global Versus Regional Systematic Risk and International Asset Allocations in Asia
AbstractThis study decomposes total risk of a MSCI Asian country index returns into three components: world systematic risk, Asian regional systematic risk and country-specific risk. The study finds an Asian country index returns mostly respond to shocks originated within the country. China, Korea and Taiwan index returns are increasingly sensitive to global common shocks notably after the Asian financial crisis, while Japan and India indices are more responsive to regional shocks. These findings have important implications in optimally allocating funds within a global versus a regional portfolio.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 7 (2006)
Issue (Month): 1 (May)
Systematic risk; Asset allocation; Portfolio management;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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