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Optimization, cointegration and diversification gains from international portfolios: an out-of-sample analysis

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  • Chanwit Phengpis

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  • Peggy Swanson

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-010-0174-3
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 36 (2011)
    Issue (Month): 2 (February)
    Pages: 269-286

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    Handle: RePEc:kap:rqfnac:v:36:y:2011:i:2:p:269-286

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: iShares; International portfolios; Cointegration; Portfolio performance; F30; G11; G15;

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    References

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    1. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
    2. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
    3. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    4. Maosen Zhong & Hui Yang, 2005. "Risk Exposures and International Diversification: Evidence from iShares," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(3-4), pages 737-772.
    5. Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
    6. Cumby, Robert E & Glen, Jack D, 1990. " Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
    7. Chang, Eric & Eun, Cheol S. & Kolodny, Richard, 1995. "International diversification through closed-end country funds," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1237-1263, October.
    8. Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-36, May.
    9. Detzler, Miranda Lam & Wiggins, James B, 1997. " The Performance of Actively Managed International Mutual Funds," Review of Quantitative Finance and Accounting, Springer, vol. 8(3), pages 291-313, May.
    10. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
    11. Li, Kai & Sarkar, Asani & Wang, Zhenyu, 2003. "Diversification benefits of emerging markets subject to portfolio constraints," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 57-80, February.
    12. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
    13. Chan, Yue-Cheong & Cheng, Louis T W, 2003. " Asset Allocation and Selectivity of Asian Mutual Funds during Financial Crisis," Review of Quantitative Finance and Accounting, Springer, vol. 21(3), pages 233-50, November.
    14. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
    15. Choi, Jongmoo Jay & Lee, Insup, 1996. " Market Segmentation and the Valuation of Closed-End Country Funds: An Empirical Analysis," Review of Quantitative Finance and Accounting, Springer, vol. 7(1), pages 45-63, July.
    16. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
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