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Portfolio diversification and the inter-temporal stability of international stock indices

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  • Ratner, Mitchell
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 3 (1992)
    Issue (Month): 1 ()
    Pages: 67-77

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    Handle: RePEc:eee:glofin:v:3:y:1992:i:1:p:67-77

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    Web page: http://www.elsevier.com/locate/inca/620162

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    Cited by:
    1. Wilson, Patrick James & Okunev, John & Webb, James J, 1998. "Step Interventions and Market Integration: Tests in the U.S., U.K., and Australian Property Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 16(1), pages 91-123, January.
    2. Fooladi, Iraj J. & Rumsey, John, 2006. "Globalization and portfolio risk over time: The role of exchange rate," Review of Financial Economics, Elsevier, vol. 15(3), pages 223-236.
    3. Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
    4. Pat Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets," Working Paper Series 49, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    5. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
    6. Thomas Kraus, 2001. "The Impact of the EMUon the Structure of European Equity Returns," IMF Working Papers 01/84, International Monetary Fund.
    7. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris.
    8. Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.
    9. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universit├Ąt Mannheim & Sonderforschungsbereich 504, University of Mannheim.
    10. Meyer, Thomas O. & Rose, Lawrence C., 2003. "The persistence of international diversification benefits before and during the Asian crisis," Global Finance Journal, Elsevier, vol. 14(2), pages 217-242, July.

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