A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods

Abdulnasser Hatemi-J; Eduardo Roca

doi:10.1016/j.econmod.2006.04.009

A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods

Abdulnasser Hatemi-J, Eduardo Roca

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

Abstract

This article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world-namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by bootstrapped causality tests. Weekly data is used. The results from the first approach are supporting international diversification. The bootstrapped causality tests provide additional empirical support for this conclusion since the size of the causal effects is negligible and the bootstrap correlations are similar as the standard ones.

Original language	English
Pages (from-to)	993-1007
Number of pages	15
Journal	Economic Modelling
Volume	23
Issue number	6
DOIs	https://doi.org/10.1016/j.econmod.2006.04.009
Publication status	Published - Dec 2006
Externally published	Yes

Keywords

Causality
International portfolio analysis
Leveraged bootstrap

ASJC Scopus subject areas

Economics and Econometrics

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10.1016/j.econmod.2006.04.009

Cite this

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abstract = "This article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world-namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by bootstrapped causality tests. Weekly data is used. The results from the first approach are supporting international diversification. The bootstrapped causality tests provide additional empirical support for this conclusion since the size of the causal effects is negligible and the bootstrap correlations are similar as the standard ones.",

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AB - This article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world-namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by bootstrapped causality tests. Weekly data is used. The results from the first approach are supporting international diversification. The bootstrapped causality tests provide additional empirical support for this conclusion since the size of the causal effects is negligible and the bootstrap correlations are similar as the standard ones.

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KW - Leveraged bootstrap

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A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods

Abstract

Keywords

ASJC Scopus subject areas

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