Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/329612 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] ACRN Journal of Finance and Risk Perspectives (JOFRP) [ISSN:] 2305-7394 [Volume:] 10 [Year:] 2021 [Pages:] 204-221
Verlag: 
ACRN Oxford Research Network, Oxford
Zusammenfassung: 
In this study, we examine whether international portfolio diversification still matters despite an increase in the cross-country correlations of assets returns. More specifically, we explain why an increase in global return correlations does not necessarily imply a reduction in the benefits of international portfolio diversification. We also propose to compare empirically two traditional strategies of international diversification (by country and industry) in addition to a new strategy (by region) using two different methodological approaches, namely the mean variance spanning and multivariate cointegration analysis. Over the full sample period (19942008), our results suggest that the three strategies of international diversification remain effective despite the secular increase in the cross-country return correlations. When we divide the sample into two different sub-periods (1994-2000 and 2000-2008), the findings indicate that the strategy based on regional diversification proved to be a new competing strategy during the second period in comparison to the other two traditional strategies.
Schlagwörter: 
International diversification
Countries Industries/sectors Regions
Market indexes
Mean variance spanning
Cointegration
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