کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085369 | 1477951 | 2008 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Co-movements of sector index returns in the world's major stock markets in bull and bear markets: Portfolio diversification implications
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In this paper, principal components analysis and Granger causality tests are used to study the portfolio diversification implications of the co-movements of sector indexes in the US, UK, German, French, and Japanese stock markets in bull and bear markets. We find that, in a bull market, investors can obtain more benefit with global diversification than with domestic diversification even if they invest in the same sector in different countries as opposed to investing in different sectors within the same country. In a bear market, the sectors of different countries tend to be more closely correlated and country diversification opportunities are limited.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 1, 2008, Pages 156-177
Journal: International Review of Financial Analysis - Volume 17, Issue 1, 2008, Pages 156-177
نویسندگان
Ilhan Meric, Mitchell Ratner, Gulser Meric,