International portfolio diversification: evidence from emerging markets
Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration....
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| Tipo de recurso: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2015 |
| País: | Brasil |
| Institución: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.fgv.br:10438/14114 |
| Acceso en línea: | http://hdl.handle.net/10438/14114 |
| Access Level: | acceso abierto |
| Palabra clave: | International portfolio diversification Pairwise correlation Dynamic conditional correlation Risk parity Economia Investimentos estrangeiros Risco (Economia) Finanças internacionais |
| Sumario: | Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration. Our results suggest a wide spread positive time-varying correlations of emerging and developed markets. However, pair-wise cross-country correlations gave evidence that emerging markets have low integration with developed markets. Consequently, we evaluate out-of-sample performance of a portfolio with emerging equity countries, confirming the initial statement that it has a better a risk-adjusted performance over a purely developed markets portfolio. |
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