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International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility

Author

Listed:
  • Thomas Flavin

    (NUI, Maynooth)

  • Ekaterini Panopoulou

    (NUI, Maynooth)

Abstract

We examine if the benefits of international portfolio diversification are robust to time-varying asset return volatility. Since diversified portfolios are subject to common cross-country shocks, we focus on the transmission mechanism of such shocks in the presence of regime-switching volatility. We find little evidence of incresaed market interdependence in turbulent periods. Furthermore, for the vast majority of time, we show that risk reduction is delivered for the US investor who holds foreign equit

Suggested Citation

  • Thomas Flavin & Ekaterini Panopoulou, 2007. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," Money Macro and Finance (MMF) Research Group Conference 2006 150, Money Macro and Finance Research Group.
    • Handle: RePEc:mmf:mmfc06:150
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    References listed on IDEAS

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    Cited by:

    1. Shafiu ABDULLAHI, 2017. "Stock Market Linkage Financial Contagion and Assets Price Movements Evidence from Nigerian Stock Exchange," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 146-159.
    2. Iuliia Brushko & Ms. Yuko Hashimoto, 2014. "The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members," IMF Working Papers 2014/074, International Monetary Fund.
    3. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.

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    More about this item

    Keywords

    Market comovement; International portfolio diversification; Financial market crises; Regime switching;
    All these keywords.

    JEL classification:

    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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