IDEAS home Printed from https://ideas.repec.org/a/spr/jecfin/v34y2010i3p349-364.html
   My bibliography  Save this article

The strength and source of asymmetric international diversification

Author

Listed:
  • Leyuan You
  • Robert Daigler

Abstract

No abstract is available for this item.

Suggested Citation

  • Leyuan You & Robert Daigler, 2010. "The strength and source of asymmetric international diversification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(3), pages 349-364, July.
    • Handle: RePEc:spr:jecfin:v:34:y:2010:i:3:p:349-364
    DOI: 10.1007/s12197-009-9081-7
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s12197-009-9081-7
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s12197-009-9081-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Karolyi, G Andrew & Stulz, Rene M, 1996. "Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Journal of Finance, American Finance Association, vol. 51(3), pages 951-986, July.
    2. 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.
    3. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-675, September.
    4. Bertoneche, Marc L., 1979. "Spectral analysis of stock market prices," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 201-208, July.
    5. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
    6. Tuluca, Sorin A & Zwick, Burton, 2001. "The Effects of the Asian Crisis on Global Equity Markets," The Financial Review, Eastern Finance Association, vol. 36(1), pages 125-141, February.
    7. Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
    8. De Santis, Giorgio & Gerard, Bruno, 1997. "International Asset Pricing and Portfolio Diversification with Time-Varying Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1881-1912, December.
    9. Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    10. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
    11. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
    12. Schwebach, Robert G. & Olienyk, John P. & Zumwalt, J. Kenton, 2002. "The impact of financial crises on international diversification," Global Finance Journal, Elsevier, vol. 13(2), pages 147-161.
    13. François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
    14. Rowland, Patrick F., 1999. "Transaction costs and international portfolio diversification," Journal of International Economics, Elsevier, vol. 49(1), pages 145-170, October.
    15. Shawky, Hany A. & Kuenzel, Rolf & Mikhail, Azmi D., 1997. "International portfolio diversification: a synthesis and an update," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 303-327, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Paskalis Glabadanidis & Ivan Obaydin & Ralf Zurbruegg, 2012. "RAFI® replication: Easier done than said?," Journal of Asset Management, Palgrave Macmillan, vol. 13(3), pages 210-225, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015. "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
    2. Chia-Hao Lee & Pei-I Chou, 2012. "Trading Activity and Financial Market Integration," The Financial Review, Eastern Finance Association, vol. 47(3), pages 589-616, August.
    3. Attig, Najah & Guedhami, Omrane & Nazaire, Gregory & Sy, Oumar, 2023. "What explains the benefits of international portfolio diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    4. You, Leyuan & Daigler, Robert T., 2010. "Is international diversification really beneficial?," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 163-173, January.
    5. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(2), pages 373-401, June.
    6. Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012. "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, vol. 23(1), pages 34-47.
    7. Michel Beine & Gunther Capelle-Blancard & Helene Raymond, 2008. "International nonlinear causality between stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 663-686.
    8. Giovanna Bua & Carmine Trecroci, 2019. "International equity markets interdependence: bigger shocks or contagion in the 21st century?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
    9. Heung-Joo Cha & Thadavillil Jithendranathan, 2009. "Time-varying correlations and optimal allocation in emerging market equities for the US investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 172-187.
    10. Deng, Kaihua, 2016. "A test of asymmetric comovement for state-dependent stock returns," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 68-85.
    11. 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.
    12. Oehler, Andreas & Wendt, Stefan & Horn, Matthias, 2017. "Are investors really home-biased when investing at home?," Research in International Business and Finance, Elsevier, vol. 40(C), pages 52-60.
    13. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    14. Christos Savva & Nektarios Aslanidis, 2010. "Stock market integration between new EU member states and the Euro-zone," Empirical Economics, Springer, vol. 39(2), pages 337-351, October.
    15. Flavin, Thomas J., 2004. "The effect of the Euro on country versus industry portfolio diversification," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1137-1158.
    16. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
    17. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
    18. Andreas Oehler & Stefan Wendt & Matthias Horn, 2016. "Internationalization of Blue-Chip versus Mid-Cap Stock Indices: an Empirical Analysis for France, Germany, and the UK," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 501-518, December.
    19. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    20. L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.

    More about this item

    Keywords

    International Diversification; Asymmetric Diversification; G150;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jecfin:v:34:y:2010:i:3:p:349-364. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.