The Empirical Investigation of Potential Gains from International Diversification
Author | : Mehdi Hojjat |
Publisher | : |
Total Pages | : 270 |
Release | : 19?? |
Genre | : International finance |
ISBN | : |
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Author | : Mehdi Hojjat |
Publisher | : |
Total Pages | : 270 |
Release | : 19?? |
Genre | : International finance |
ISBN | : |
Author | : Shaun McDowell |
Publisher | : |
Total Pages | : 217 |
Release | : 2016 |
Genre | : Capital assets pricing model |
ISBN | : |
This thesis investigates the effect of allocation weight constraints, estimation error and taxes on the potential benefits from international diversification. The empirical results presented in this thesis address gaps in the literature concerning the statistical significance of the potential gains from international diversification and whether these potential benefits can be realized ex-ante. Weight constraints on market allocations used with static in-sample optimized portfolios are found to reduce the potential benefits of international diversification to statistically insignificant levels versus the domestic portfolio for the majority of investors in developed markets for the 1993 to 2014 investment period. The naive global market capitalization weighted (1/M) portfolio, the most strongly constrained portfolio, provides statistically significant positive gains for only 2 of the 34 markets studied. Estimation error reduction strategies designed to improve ex-ante optimization are not found to outperform the naive domestic market portfolio or the naive 1/M port- folio for investors in the majority of countries measured. And the unequal taxation of overseas equity income is reported to reduce the potential benefits of international diversification and increase the efficiency of a home bias for New Zealand investors indirectly investing in equities held in a portfolio investment entity (PIE). These empirical findings suggest that a home bias may exist in part because allocation constraints, estimation error and taxes on overseas equity investments can make overweighting the domestic market a statistically efficient investment decision.
Author | : Cheol S. Eun |
Publisher | : |
Total Pages | : 26 |
Release | : 1986 |
Genre | : Investments, Foreign |
ISBN | : |
Author | : Dongyeol Lee |
Publisher | : International Monetary Fund |
Total Pages | : 24 |
Release | : 2019-05-24 |
Genre | : Business & Economics |
ISBN | : 1498315658 |
Export structure is less diversified in low-income countries (LICs) and especially small states that face resource constraints and small economic size. This paper explores the potential linkages between export structure and economic growth and its volatility in LICs and small states, using a range of indices of export concentration differing in the coverage of industries. The empirical analysis finds that export diversification may promote economic growth and reduce economic volatility in these countries. Furthermore, the analysis demonstrates that the economic benefits of export diversification differ by country size and income level—there are bigger benefits for relatively larger and poorer countries within the group of LICs and small states.
Author | : Frank Joseph Shulman |
Publisher | : Hong Kong University Press |
Total Pages | : 878 |
Release | : 2001-01-01 |
Genre | : Language Arts & Disciplines |
ISBN | : 9789622093973 |
A descriptively annotated, multidisciplinary, cross-referenced and extensively indexed guide to 2,395 dissertations that are concerned either in whole or in part with Hong Kong and with Hong Kong Chinese students and emigres throughout the world.
Author | : Andrew H. Chen |
Publisher | : Emerald Group Publishing |
Total Pages | : 333 |
Release | : 2008-03-04 |
Genre | : Business & Economics |
ISBN | : 0762313773 |
Contains contributions on a range of important issues in research in finance and economics. This volume includes topics such as the IPO underwriting spreads, the moral hazard problems in bank regulation as well as in the cost of deposit insurance, the loan yield spreads, and the aggregate bank performance at the state-level.
Author | : Shigeyuki Hamori |
Publisher | : Springer Science & Business Media |
Total Pages | : 140 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 1441992081 |
An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Author | : Arnold McIntyre |
Publisher | : International Monetary Fund |
Total Pages | : 23 |
Release | : 2018-04-11 |
Genre | : Business & Economics |
ISBN | : 1484351010 |
The paper considers concepts of economic diversification with respect to exports (including service sectors) for small states. We assessed the economic performance of different groups of 34 small states over the period of 1990-2015 and found those more diversified experienced lower output volatility and higher average growth than most other small states. Our findings are consistent with conventional economic theories but we found that export diversification has a more significant impact on reducing output volatility than improving long run growth in small states. Diversification requires fundamental changes and should be contemplated in the context of a cohesive development strategy.