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Market similarity and cross-border investment performance

Author

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  • Lin, Anchor Y.
  • Lin, Yueh-Neng

Abstract

This study investigates whether similarity in national characteristics affects U.S. investors’ investment performance in foreign equity markets. The 2007–2008 financial crisis has significantly changed U.S. investors’ performance in foreign countries. Before the financial crisis, the diversification hypothesis is generally supported. During the in-crisis period, the U.S. investors perform well in segmented markets, suggesting that U.S. investors could learn from crisis-related experiences and might work harder in bad times. After the financial crisis, however, the diversification benefit of investing globally via country indices has been significantly weakened and seeking a new route has become important.

Suggested Citation

  • Lin, Anchor Y. & Lin, Yueh-Neng, 2021. "Market similarity and cross-border investment performance," Finance Research Letters, Elsevier, vol. 40(C).
    • Handle: RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320303342
    DOI: 10.1016/j.frl.2020.101751
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    More about this item

    Keywords

    Market similarity; Investment performance; Financial crisis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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