Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships

Meric, Ilhan; Meric, Gulser

doi:10.1016/0378-4266(89)90034-4

Cited by 125 publications

(49 citation statements)

References 17 publications

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“…Previous studies for instance, Grauer and Hakansson (1987); Meric and Meric (1989); Solnik (1995) provided evidence that by including the assets from other countries result in the reduction of risk without affecting the rate of return. Moreover, recent studies investigated the benefit of adding emerging markets assets in portfolio construction.…”

Section: Literature Reviewmentioning

confidence: 99%

Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market

Sadaqat¹,

Butt²

2017

BER

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Section: Literature Reviewmentioning

confidence: 99%

Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market

Sadaqat¹,

Butt²

2017

BER

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“…and Wheelwright (1974), Philippatos, Christofi, and Christofi (1983), and Meric and Meric (1989) have made the use of the PCA multivariate technique popular in studying the contemporaneous co-movements of national stock markets. We use the PCA technique in this paper to study …”

Section: Makridakismentioning

confidence: 99%

Global Portfolio Diversification with Emerging Stock Markets

Meric

Ding

Meric

2016

emaj

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Because of their low correlation with each other and with developed stock markets, emerging stock markets are generally mentioned as attractive portfolio diversification prospects for global investors. In this paper, we use the Principal Components Analysis (PCA) method to study the global portfolio diversification opportunities for the investors of seven developed stock markets in twenty emerging stock markets with data

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“…Meric and Meric [14] found empirical evidence that diversification across countries results in greater risk reduction than diversification across industries. Their inter-temporal stability tests indicated that the longer the time period considered the better proxies ex-post patterns of co-movement can be for the ex-ante co-movements of international stock markets.…”

Section: Studies On Stock Market Integration Based On Economic Integrmentioning

confidence: 99%

Financial Crisis and International Portfolio Diversification: A Principal Component Analysis Approach

Syamala¹,

Wadhwa²

2016

TEL

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The present study examines the co-movement of selected world market stock indices in order to analyze the potential gains that Indian investors can achieve when they diversify their portfolio into international markets. The sample consists of a mix of different categories of world markets such as the matured markets like the USA, Japan, and UK, emerging markets like India, Singapore, South Korea, and Thailand with an inclusion of other world markets to cover more or less all the markets of the world. We examine the co-movement using principal component analysis which is useful in terms of stability of factors and it is unlikely that factor stability can be observed over longer periods. We examine the co-movement for a period of 15 years from 2000-2015. The results here suggest that there was a different pattern in the world markets before and after the financial crisis and the best portfolio for an Indian investor is Germany, Malaysia, Jakarta, Mexico, and Israel would appropriate.

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Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships

Cited by 125 publications

References 17 publications

Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market

Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market

Global Portfolio Diversification with Emerging Stock Markets

Financial Crisis and International Portfolio Diversification: A Principal Component Analysis Approach

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