MURAL - Maynooth University Research Archive Library



    On the robustness of international portfolio diversification benefits to regime-switching volatility


    Flavin, Thomas and Panopoulou, Dr. Ekaterini (2007) On the robustness of international portfolio diversification benefits to regime-switching volatility. UNSPECIFIED. (Unpublished)

    [img] Download (817kB)


    Share your research

    Twitter Facebook LinkedIn GooglePlus Email more...



    Add this article to your Mendeley library


    Abstract

    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. Generally, market linkages are stable with little evidence of increased market interdependence in turbulent periods. Furthermore, risk reduction is consistently delivered for the US investor who holds foreign equity.

    Item Type: Other
    Additional Information: Part of the Department of Economics Working Paper Series
    Keywords: Market comovement; Shift contagion; Financial market crises; International portfolio diversification; Regime switching.
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 730
    Depositing User: Thomas Flavin
    Date Deposited: 12 Oct 2007
    Refereed: No
    URI:
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

    Repository Staff Only(login required)

    View Item Item control page

    Downloads

    Downloads per month over past year

    Origin of downloads