International diversification strategies: Revisited from the risk perspective
Following Roll [Roll, R., 1992. Industrial structure and comparative behaviour of international stock market indices. Journal of Finance 47, 3-42] and Heston and Rouwenhorst [Heston, S.L., Rouwenhorst, G.K., 1994. Does industrial structure explain the benefits of international diversification. Journal of Financial Economics 36, 3-27], researchers have decomposed stock returns into country and industry components. Evidence suggests that industry components have become more important in recent years, but the reasons for this are unclear. Existing research concentrated mainly on stock returns in industrial countries. In this paper we consider instead the decomposition of stock risks within emerging equity markets. We provide a rationale for this procedure and its relationship to return decompositions. The results provide new firm-specific evidence on the debate over country and industry components, their stability over time, and the implications for portfolio diversification.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jeffrey Sachs & Andrew Warner, 1995.
"Economic Reform and the Progress of Global Integration,"
Harvard Institute of Economic Research Working Papers
1733, Harvard - Institute of Economic Research.
- Jeffrey D. Sachs & Andrew Warner, 1995. "Economic Reform and the Process of Global Integration," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(1, 25th A), pages 1-118.
- RAFAEL LaPORTA & FLORENCIO LOPEZ-de-SILANES & ANDREI SHLEIFER & ROBERT W. VISHNY, .
"Legal Determinants of External Finance,","
CRSP working papers
324, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Rafael LaPorta & Florencio Lopez de-Silanes & Andrei Shleifer & Robert W. Vishny, 1997. "Legal Determinants of External Finance," Harvard Institute of Economic Research Working Papers 1788, Harvard - Institute of Economic Research.
- Rafael LaPorta & Florencio Lopez-de-Silanes & Andrei Shleifer & Robert W. Vishny, . "Legal Determinants of External Finance," Working Paper 19443, Harvard University OpenScholar.
- Rafael La Porta & Florencio Lopez-de-Silane & Andrei Shleifer & Robert W. Vishny, 1997. "Legal Determinants of External Finance," NBER Working Papers 5879, National Bureau of Economic Research, Inc.
- Kate Phylaktis & Lichuan Xia, 2006. "The Changing Roles of Industry and Country Effects in the Global Equity Markets," The European Journal of Finance, Taylor & Francis Journals, vol. 12(8), pages 627-648.
- Chandar, Nandini & Patro, Dilip K. & Yezegel, Ari, 2009. "Crises, contagion and cross-listings," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1709-1729, September.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,"
NBER Working Papers
7590, National Bureau of Economic Research, Inc.
- John Y. Campbell, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, 02.
- Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
- Chung, Kee H. & Smith, William T. & Wu, Tao L., 2009. "Time diversification: Definitions and some closed-form solutions," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1101-1111, June.
- Campa, José Manuel & Fernandes, Nuno, 2004.
"Sources of Gains from International Portfolio Diversification,"
CEPR Discussion Papers
4390, C.E.P.R. Discussion Papers.
- Campa, Jose Manuel & Fernandes, Nuno, 2006. "Sources of gains from international portfolio diversification," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 417-443, October.
- Campa, Jose M. & Fernandes, Nuno, 2004. "Sources of gains from international portfolio diversification," IESE Research Papers D/559, IESE Business School.
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad & Stephan Siegel, 2009.
"What Segments Equity Markets?,"
NBER Working Papers
14802, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2010. "What Segments Equity Markets?," National Bank of Poland Working Papers 76, National Bank of Poland, Economic Institute.
- Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T & Siegel, Stephan, 2010. "What Segments Equity Markets?," CEPR Discussion Papers 8142, C.E.P.R. Discussion Papers.
- Silva, Ana Cristina & Chávez, Gonzalo A., 2008. "Cross-listing and liquidity in emerging market stocks," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 420-433, March.
- Serra, Ana Paula, 2000. "Country and industry factors in returns: evidence from emerging markets' stocks," Emerging Markets Review, Elsevier, vol. 1(2), pages 127-151, September.
- Peter Blair Henry, 2000. "Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices," Journal of Finance, American Finance Association, vol. 55(2), pages 529-564, 04.
- R. F. Engle & A. J. Patton, 2001. "What good is a volatility model?," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 237-245.
- Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
- Kalev, Petko S. & Nguyen, Anh H. & Oh, Natalie Y., 2008. "Foreign versus local investors: Who knows more? Who makes more?," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2376-2389, November.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:34:y:2010:i:1:p:236-245. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.