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International portfolio diversification and multilateral effects of correlations

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  • Bergin, Paul R.
  • Pyun, Ju Hyun

Abstract

Not only are investors biased toward home assets, but when they do invest abroad, they appear to favor countries with returns more correlated with home assets. Often attributed to a preference for familiarity, this ‘correlation puzzle’ further reduces effective diversification. We use a multi-country general equilibrium model of portfolio choice to study how bilateral equity holdings are affected by return correlations among alternative destination and source countries. From the theoretical model, we develop an empirical approach to estimate a gravity equation for equity holdings that incorporates the overall covariance structure in a theoretically rigorous yet tractable manner. Estimation using this approach resolves the correlation puzzle, and finds that international investors do seek the diversification benefits of low cross-country correlations, as theory would predict.

Suggested Citation

  • Bergin, Paul R. & Pyun, Ju Hyun, 2016. "International portfolio diversification and multilateral effects of correlations," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 52-71.
  • Handle: RePEc:eee:jimfin:v:62:y:2016:i:c:p:52-71
    DOI: 10.1016/j.jimonfin.2015.12.012
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    4. Rudiger Ahrend & Antoine Goujard, 2012. "International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil?: Asset Price Contagion During the Global Financial ," OECD Economics Department Working Papers 969, OECD Publishing.
    5. Balli, Faruk & Balli, Hatice Ozer & Basher, Syed Abul & Karimova, Amira & Wang, Aihua, 2019. "Determinants of sector of holders international equity holdings," International Review of Economics & Finance, Elsevier, vol. 63(C), pages 329-338.
    6. Martijn A. Boermans & Robert Vermeulen, 2020. "International investment positions revisited: Investor heterogeneity and individual security characteristics," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 466-496, May.
    7. Dimitrios Vortelinos & Konstantinos Gkillas (Gillas) & Costas Syriopoulos & Argyro Svingou, 2018. "Asymmetric and nonlinear inter-relations of US stock indices," International Journal of Managerial Finance, Emerald Group Publishing, vol. 14(1), pages 78-129, February.
    8. Mo, Guoli & Tan, Chunzhi & Zhang, Weiguo & Liu, Fang, 2019. "International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 168-183.
    9. Aquino, Juan Carlos, 2018. "The Valuation Channel of External Adjustment in Small Open Economies," Working Papers 2018-011, Banco Central de Reserva del Perú.
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    11. Gkillas, Konstantinos & Tsagkanos, Athanasios & Vortelinos, Dimitrios I., 2019. "Integration and risk contagion in financial crises: Evidence from international stock markets," Journal of Business Research, Elsevier, vol. 104(C), pages 350-365.

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    More about this item

    Keywords

    Stock return correlation; Bilateral equity holdings; International portfolio diversification; Multi-country model; Equity home bias; Correlation puzzle;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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