Dr Mehmet Umutlu M.Umutlu@napier.ac.uk
Associate Professor
To diversify or not to diversify internationally?
Umutlu, Mehmet; Yargı, Seher Gören
Authors
Seher Gören Yargı
Abstract
Using alternative measures of return correlations, we show that neither industry nor country correlations exhibit an ever-increasing trend. Instead, correlations jump during recessions with a tendency to revert in stable periods. This keeps international diversification still important despite the financial integration that might have increased correlations permanently. Moreover, the mean of industry correlations is statistically lower than that of country correlations, suggesting that cross-industry diversification is more efficient. Finally, diversifying through industries of emerging markets rather than those of developed markets reduces mean correlations more. These results are robust to several correlation definitions.
Citation
Umutlu, M., & Yargı, S. G. (2022). To diversify or not to diversify internationally?. Finance Research Letters, 44, Article 102110. https://doi.org/10.1016/j.frl.2021.102110
Journal Article Type | Article |
---|---|
Acceptance Date | May 2, 2021 |
Online Publication Date | May 7, 2021 |
Publication Date | 2022-01 |
Deposit Date | Jan 29, 2023 |
Journal | Finance Research Letters |
Print ISSN | 1544-6123 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 44 |
Article Number | 102110 |
DOI | https://doi.org/10.1016/j.frl.2021.102110 |
You might also like
Are return predictors of industrial equity indexes common across regions?
(2023)
Journal Article
Market segmentation and international diversification across country and industry portfolios
(2023)
Journal Article
Return range and the cross-section of expected index returns in international stock markets
(2021)
Journal Article
Downloadable Citations
About Edinburgh Napier Research Repository
Administrator e-mail: repository@napier.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search