Global Versus Regional Systematic Risk and International Asset Allocations in Asia
This 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.
References listed on IDEAS
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- Seungwook Bahng & Seung-Myo Shin, 2004. "Interactions of stock markets within the greater China economic bloc," Global Economic Review, Taylor & Francis Journals, vol. 33(3), pages 43-60.
- Chelley-Steeley, Patricia, 2004. "Equity market integration in the Asia-Pacific region: A smooth transition analysis," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 621-632.
- Richard Pomfret, 2004.
"Sequencing Trade and Monetary Integration: Issues and Applications to Asia,"
School of Economics Working Papers
2004-14, University of Adelaide, School of Economics.
- Pomfret, Richard, 2005. "Sequencing trade and monetary integration: issues and application to Asia," Journal of Asian Economics, Elsevier, vol. 16(1), pages 105-124, February.
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- Wang, Yunjong, 2004. "Financial cooperation and integration in East Asia," Journal of Asian Economics, Elsevier, vol. 15(5), pages 939-955, October.
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