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


    Flavin, Thomas and Panopoulou, Ekaterini (2009) On the robustness of international portfolio diversification benefits to regime-switching volatility. Journal of International Financial Markets, Institutions and Money, 19. pp. 140-156. ISSN 1042-4431

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    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: Article
    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: 8007
    Identification Number: https://doi.org/10.1016/j.intfin.2007.09.002
    Depositing User: Thomas Flavin
    Date Deposited: 08 Mar 2017 14:56
    Journal or Publication Title: Journal of International Financial Markets, Institutions and Money
    Publisher: Elsevier
    Refereed: Yes
    URI:

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