English, Article, Journal or magazine article edition: International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility Thomas Flavin; Ekaterini Panopoulou

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Bookmark: http://trove.nla.gov.au/version/34551
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility
Author
  • Thomas Flavin
  • Ekaterini Panopoulou
Physical Description
  • preprint
Notes
  • We examine if the benefits of international portfolio diversification are robust to time-varying asset return volatility. Since diversified portfolios are subject to common cross-country shocks, we focus on the transmission mechanism of such shocks in the presence of regime-switching volatility. We find little evidence of incresaed market interdependence in turbulent periods. Furthermore, for the vast majority of time, we show that risk reduction is delivered for the US investor who holds foreign equit
  • RePEc:mmf:mmfc06:150
  • We examine if the benefits of international portfolio diversification are robust to time-varying asset return volatility. Since diversified portfolios are subject to common cross-country shocks, we focus on the transmission mechanism of such shocks in the presence of regime-switching volatility. We find little evidence of increased market interdependence in turbulent periods. Furthermore, for the vast majority of time, we show that risk reduction is delivered for the US investor who holds foreign equity.
  • Market comovement; International portfolio diversification; Financial market crises; Regime switching.
  • RePEc:iis:dispap:iiisdp167
Language
  • English
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