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Exchange Risk Implications of International Portfolio Diversification

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  • Nahum Biger

    (York University)

Abstract

This paper evaluates the systematic risk of foreign exchange by deriving efficient sets of international portfolios from six national viewpoints. The composition of these portfolios is examined and the effect of different exchange rate risks is discussed theoretically and tested empirically. The paper shows that in the context of international portfolios, exchange risk matters much less than would be expected.© 1979 JIBS. Journal of International Business Studies (1979) 10, 63–74

Suggested Citation

  • Nahum Biger, 1979. "Exchange Risk Implications of International Portfolio Diversification," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 10(2), pages 63-74, June.
    • Handle: RePEc:pal:jintbs:v:10:y:1979:i:2:p:63-74
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    Cited by:

    1. Sulaiman T. Al-Abduljader, 2018. "International Diversification in Frontier Real Estate Markets," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 93-112.
    2. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2018. "Global idiosyncratic risk moments," Empirical Economics, Springer, vol. 55(2), pages 731-764, September.
    3. Lu, Jin-Ray & Chan, Chih-Ming & Wen, Mei-Hui, 2012. "Which demands affect optimal international portfolio choices?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1292-1306.
    4. Brian Hatch & Bruce Resnick, 1993. "A review of recent developments in international portfolio selection," Open Economies Review, Springer, vol. 4(1), pages 83-96, March.
    5. Charles Raoul Tchuinkam Djemo & John Weirstrass Muteba Mwamba & Mathias Mandla Manguzvane, 2021. "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," The African Finance Journal, Africagrowth Institute, vol. 23(2), pages 36-49.
    6. Alexandra HOROBET & Livia ILIE, 2009. "On The Exchange Rate Risk Contribution To The Performance Of International Investments: The Case Of Romania," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 3, pages 57-83, May.
    7. Maela Giofré & Oleksandra Sokolenko, 2023. "Cross-border investment and the decline of exchange rate volatility: implications for Euro area bilateral investments," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 159(3), pages 595-627, August.
    8. Moosa, Imad A. & Al-Deehani, Talla M., 2009. "The Myth of International Diversification," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 62(3), pages 383-406.
    9. Doina Chichernea, 2007. "International Portfolio Investment," Journal of Information Systems & Operations Management, Romanian-American University, vol. 1(1), pages 15-20, Winter.

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