International portfolio diversification: evidence from emerging markets


Autoria(s): Vieira, Joana Colarinha
Contribuinte(s)

Mergulhão, João de Mendonça

Boons, Martijn

Prado, Melissa

Data(s)

13/10/2015

13/10/2015

25/09/2015

Resumo

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.

Identificador

http://hdl.handle.net/10438/14114

Idioma(s)

en

Palavras-Chave #International portfolio diversification #Pairwise correlation #Dynamic conditional correlation #Risk parity #Investimentos estrangeiros #Mercados emergentes #Risco (Economia) #Finanças internacionais
Tipo

Dissertation