All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
AROURI Mohamed El Hedi
 
''FInancial Integration and Interenational Portfolio Diversification : A Multivariate Analysis''
( 2003, Vol. 28 No.4 )
 
 
In this article, we extend the conditional ICAPM of De Santis and Gérard (1997,1998) using an asymmetric multivariate GARCH specification. This approach, with double asymmetric effects, allows to the risk premia, betas and correlations to vary through time. Then, we investigate ex ante benefits from world market diversification. The evidence supports the financial integration hypothesis and suggests that investors from all countries could expect statistically significant benefits from international diversification but that gains are considerable larger for investors with smaller home markets.
 
 
Keywords:
 
Manuscript Received : Oct 23 2003 Manuscript Accepted : Oct 23 2003

  This abstract has been downloaded 486 times                The Full PDF of this paper has been downloaded 87696 times