Kellner, Ralf and Roesch, Daniel (2019) A country specific point of view on international diversification. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 98: UNSP 10206. ISSN 0261-5606, 1873-0639
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This paper adds a country specific point of view on diversification among financial markets. Previous results indicate that emerging markets may generally exhibit higher diversification effects in comparison to developed markets due to lower market linkages. However, the question remains which markets in particular may be more or less attractive among emerging and developed markets as well as in a world market setting. To the best of our knowledge, this is the first empirical study which analyzes this question beyond continental levels only. We analyze diversification by means of optimal portfolio allocations and in terms of tail risk reductions. We also include investors' tendency to overweight regional investments (home bias). Our results show that Malaysia, Switzerland, Jordan, Chile or Singapore are markets with high diversification potential. On the contrary, Argentina, Brazil and South Korea exhibit high individual risk levels in combination with high market linkages. (C) 2019 Elsevier Ltd. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | RISK; BIAS; International diversification; Home bias; Portfolio optimization |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 25 Mar 2020 14:47 |
| Last Modified: | 25 Mar 2020 14:47 |
| URI: | https://pred.uni-regensburg.de/id/eprint/25955 |
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