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A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
Högskolan i Skövde, Institutionen för teknik och samhälle.
Department of Accounting, Finance and Economics, Griffith University, Nathan, QLD 4111, Australia.
2006 (engelsk)Inngår i: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 23, nr 6, s. 993-1007Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

This article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world-namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by bootstrapped causality tests. Weekly data is used. The results from the first approach are supporting international diversification. The bootstrapped causality tests provide additional empirical support for this conclusion since the size of the causal effects is negligible and the bootstrap correlations are similar as the standard ones. (c) 2006 Elsevier B.V. All rights reserved.

sted, utgiver, år, opplag, sider
Elsevier, 2006. Vol. 23, nr 6, s. 993-1007
Emneord [en]
international portfolio analysis, leveraged bootstrap, causality
Identifikatorer
URN: urn:nbn:se:his:diva-6901DOI: 10.1016/j.econmod.2006.04.009ISI: 000242195300008Scopus ID: 2-s2.0-33750262661OAI: oai:DiVA.org:his-6901DiVA, id: diva2:575905
Konferanse
Australasian Meeting of the Econometric-Society, JUL 09-11, 2003, Sydney, AUSTRALIA
Tilgjengelig fra: 2012-12-11 Laget: 2012-12-11 Sist oppdatert: 2017-12-07bibliografisk kontrollert

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