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dc.contributor.authorHatemi-J, A
dc.contributor.authorRoca, E
dc.contributor.editorS. Hall and P.Pauly
dc.date.accessioned2017-05-03T11:42:03Z
dc.date.available2017-05-03T11:42:03Z
dc.date.issued2006
dc.date.modified2008-10-07
dc.identifier.issn0264-9993
dc.identifier.doi10.1016/j.econmod.2006.04.009
dc.identifier.urihttp://hdl.handle.net/10072/11242
dc.description.abstractThis article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world - namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by bootstrapped causality tests. Weekly data is used. The results from the first approach are supporting international diversification. The bootstrapped causality tests provide additional empirical support for this conclusion since the size of the causal effects is negligible and the bootstrap correlations are similar as the standard ones.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent264403 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.publisher.placeHolland
dc.publisher.urihttp://www.elsevier.com/wps/find/journaldescription.cws_home/30411/description#description
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom993
dc.relation.ispartofpageto1007
dc.relation.ispartofissue6
dc.relation.ispartofjournalEconomic Modelling
dc.relation.ispartofvolume23
dc.rights.retentionN
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3802
dc.subject.fieldofresearchcode3502
dc.titleA re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.rights.copyright© 2006 Elsevier : This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher : This journal is available online - use hypertext links.
gro.date.issued2006
gro.hasfulltextFull Text
gro.griffith.authorRoca, Eduardo D.


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