کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
998115 1481444 2014 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Correlation dynamics and international diversification benefits
ترجمه فارسی عنوان
پویایی همبستگی و مزایای تنوع بین المللی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی

Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) over the period 1973–2012. We show that it is possible to model co-movements for many countries simultaneously using BEKK, DCC, and DECO models. Empirically, we find that correlations have trended upward significantly for both DMs and EMs. Based on a time-varying measure of diversification benefits, we find that it is not possible to circumvent the increasing correlations in a long-only portfolio by adjusting the portfolio weights over time. However, we do find some evidence that adding EMs to a DM-only portfolio increases diversification benefits.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 30, Issue 3, July–September 2014, Pages 807–824
نویسندگان
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