International indexing as a means of portfolio diversification

Saritaş, Hakan; Aygören, Hakan

doi:10.1080/09603100500187844

Cited by 6 publications

(2 citation statements)

References 4 publications

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“…With the easing of capital controls in the BRICS member states, investors' interest in international diversification has amplified. International diversification of portfolio assets improves the risk-reward ratio (Nashier 2015;Kajtazi and Moro 2017;Saritas and Aygoren 2005). Nevertheless, when equity markets are cointegrated, the advantages of international diversification remain limited.…”

Section: Introductionmentioning

confidence: 99%

Are Stock Markets among BRICS Members Integrated? A Regime Shift-Based Co-Integration Analysis

et al. 2022

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Long-run relationships and structural breaks have often been confused so that many investigators ignore the structural breaks in long-run stock price relationships. In this paper, we investigate the long-run relationships among stock prices in BRICS countries in a bivariate framework. We used a non-linear threshold cointegration test, which endogenously incorporates possible regime shift behaviors into the long-run relationships from 2004 to 2018. The Johansen cointegration test, the Gregory and Hansen cointegration test, and the Hatemi-J regime shift cointegration test, which allow for single and double structural breaks, were used. The principal finding of this paper confirms the presence of cointegration among the BRICS stock markets with two endogenous structural breaks. The study confirms that ignoring the presence of structural breaks in long-run series data can produce ambiguous results. It also confirms the absence of cointegration among these stock markets (Brazil and China, India and China, and China and South Africa) after two endogenous structural breaks. These empirical findings support conjecture on more than just the changes in the relationships between the BRICS stock markets. The disintegrated markets suggest the absence of arbitrage activity and vice versa. Thus, disintegrated markets mean that investors can obtain long-term gains through international portfolio diversification. While the benefit of the diversification is very limited in the long run, it is unlikely to be eliminated in practice. Hence, there is a possibility of obtaining an unusual profit in such a market, and consequently the assumptions of market efficiency could also be violated.

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Section: Introductionmentioning

confidence: 99%

Are Stock Markets among BRICS Members Integrated? A Regime Shift-Based Co-Integration Analysis

et al. 2022

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“…This method is applied by Elton et al (1999), Basarrate and Rubio (1999) and Kothari and Warner (2001) amongst others. However, Sharpe (1992), Elton et al (1996Elton et al ( , 1999, Argarwal and Naik (2000), TerHorst et al (2004) and Saritas and Aygoren (2005) apply benchmark models.…”

Section: Performance Measurementmentioning

confidence: 99%

Portfolio performance: factors or benchmarks?

Matallín‐Sáez¹

2007

Applied Financial Economics

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The suitability of using factors or benchmarks to measure portfolio performance is analysed. Fama and French factors are constructed from Russell US stock indexes and then directly utilized as benchmarks. The interpretation of factors as zero-investment benchmarks makes it difficult to explain performance measurement as the comparison of active versus passive management, given the short selling restrictions often applied to mutual funds. Empirical results reveal similar biases in extended Jensen's alphas in models with both factors and with benchmarks and with convexity and nonnegativity restrictions. Selection of the benchmarks has a more important effect than the model type chosen.

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On causality in the size-efficiency relationship: the effect of investor cash flows on the mutual fund industry

Matallín‐Sáez

2011

Applied Economics

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International indexing as a means of portfolio diversification

Cited by 6 publications

References 4 publications

Are Stock Markets among BRICS Members Integrated? A Regime Shift-Based Co-Integration Analysis

Are Stock Markets among BRICS Members Integrated? A Regime Shift-Based Co-Integration Analysis

Portfolio performance: factors or benchmarks?

On causality in the size-efficiency relationship: the effect of investor cash flows on the mutual fund industry

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