DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES

Detalhes bibliográficos
Autor(a) principal: Corrêa Dalbem, Marta
Data de Publicação: 2013
Outros Autores: Cabus Klotzle, Marcelo
Tipo de documento: Artigo
Idioma: por
Título da fonte: REAd (Porto Alegre. Online)
Texto Completo: https://seer.ufrgs.br/index.php/read/article/view/39020
Resumo: This research contributed to the fields of international finance and portfolio risk management, having aimed at identifying if international stock exchanges still bring diversification benefits to investors. Monthly data of the returns obtained in stock exchanges of 12 countries, for the past 12 years, were analyzed through econometric models, such as VAR and Principal Components Analysis, in order to identify the dynamic relationship of those markets. This research not only identified two different investment blocks (USA, UK, Switzerland, versus Thailand, Japan and India), but also spotted that Brazil is closer to the block of developed western countries, while South Africa is more aligned with the Asian markets. Canada and Australia have been neutral investment options. Results confirmed that arm of portfolio management literature that indicates that, despite the growing correlation among international stock exchanges, they can still provide diversification benefits to investors.
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spelling DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIESDIVERSIFICACIÓN VÍA BOLSAS INTERNACIONALES: UN ANÁLISIS EMPÍRICA DE PAÍSES DESARROLLADOS Y EMERGENTESDIVERSIFICAÇÃO VIA BOLSAS INTERNACIONAIS: UMA ANÁLISE EMPÍRICA DE PAÍSES DESENVOLVIDOS E EMERGENTESfinanças internacionaisgestão de carteirasmodelo VARComponentes Principaisinternational financeportfolio managementVARPrincipal Components Analysisfinanzas internacionalesgestión de carterasmodelo VARComponentes PrincipalesThis research contributed to the fields of international finance and portfolio risk management, having aimed at identifying if international stock exchanges still bring diversification benefits to investors. Monthly data of the returns obtained in stock exchanges of 12 countries, for the past 12 years, were analyzed through econometric models, such as VAR and Principal Components Analysis, in order to identify the dynamic relationship of those markets. This research not only identified two different investment blocks (USA, UK, Switzerland, versus Thailand, Japan and India), but also spotted that Brazil is closer to the block of developed western countries, while South Africa is more aligned with the Asian markets. Canada and Australia have been neutral investment options. Results confirmed that arm of portfolio management literature that indicates that, despite the growing correlation among international stock exchanges, they can still provide diversification benefits to investors.La investigación se inserta en el campo de finanzas/gestión de carteras y tuvo el objetivo de identificar se inversiones en bolsas internacionales todavía traen beneficios de diversificación. Mediante dados mensuales de los retornos obtenidos en los últimos 12 años, el estudio utilizó métodos econométricos, tales como VAR y Componentes Principales, de modo a identificar la dinámica de la relación entre las bolsas de 12 países. El estudio permitió identificar no sólo dos bloques de países bastante distintos (EE UU, Inglaterra, Suiza, versus Tailandia, Japón e India), como también verificó que Brasil tiende a acercarse más del bloque de países desarrollados occidentales, a diferencia de Africa del Sur, más alineada con el mercado asiático. Canadá y Australia se mostraron mercados más neutros. Los resultados confirman la vertiente de la literatura sobre carteras que indica que, a pesar de la creciente correlación entre bolsas internacionales, todavía es posible obtener beneficios de diversificación.A pesquisa se insere no campo de finanças/gestão de carteiras e teve o objetivo de identificar se investimentos em bolsas internacionais ainda trazem benefícios de diversificação. Por meio de dados mensais dos retornos auferidos nos últimos 12 anos, o estudo utilizou métodos econométricos, tais como VAR e Componentes Principais, de modo a identificar a dinâmica do relacionamento entre as bolsas de valores de 12 países. O estudo permitiu identificar não só dois blocos de países bastante distintos (EUA, Inglaterra, Suíça, versus Tailândia, Japão e Índia), como também verificou que o Brasil tende a se aproximar mais do bloco de países desenvolvidos ocidentais, ao contrário da África do Sul, mais alinhada com o mercado asiático. Canadá e Austrália mostraram-se mercados mais neutros. Os resultados confirmam a vertente da literatura sobre carteiras que indica que, apesar da crescente correlação entre bolsas internacionais, ainda é possível auferir benefícios de diversificação.Universidade Federal do Rio Grande do Sul2013-04-18info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionscientific articlearticulo científicoAvaliado pelos paresartigo científicoapplication/pdfhttps://seer.ufrgs.br/index.php/read/article/view/39020Electronic Review of Administration; Vol. 15 No. 3 (2009): Edição 64 - set/dez 2009; 581-599Revista Electrónica de Administración; Vol. 15 Núm. 3 (2009): Edição 64 - set/dez 2009; 581-599Revista Eletrônica de Administração; v. 15 n. 3 (2009): Edição 64 - set/dez 2009; 581-5991413-23111980-4164reponame:REAd (Porto Alegre. Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/read/article/view/39020/25101Corrêa Dalbem, MartaCabus Klotzle, Marceloinfo:eu-repo/semantics/openAccess2013-04-24T13:45:15Zoai:seer.ufrgs.br:article/39020Revistahttp://seer.ufrgs.br/index.php/read/indexPUBhttps://seer.ufrgs.br/read/oaiea_read@ufrgs.br1413-23111413-2311opendoar:2013-04-24T13:45:15REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES
DIVERSIFICACIÓN VÍA BOLSAS INTERNACIONALES: UN ANÁLISIS EMPÍRICA DE PAÍSES DESARROLLADOS Y EMERGENTES
DIVERSIFICAÇÃO VIA BOLSAS INTERNACIONAIS: UMA ANÁLISE EMPÍRICA DE PAÍSES DESENVOLVIDOS E EMERGENTES
title DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES
spellingShingle DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES
Corrêa Dalbem, Marta
finanças internacionais
gestão de carteiras
modelo VAR
Componentes Principais
international finance
portfolio management
VAR
Principal Components Analysis
finanzas internacionales
gestión de carteras
modelo VAR
Componentes Principales
title_short DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES
title_full DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES
title_fullStr DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES
title_full_unstemmed DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES
title_sort DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES
author Corrêa Dalbem, Marta
author_facet Corrêa Dalbem, Marta
Cabus Klotzle, Marcelo
author_role author
author2 Cabus Klotzle, Marcelo
author2_role author
dc.contributor.author.fl_str_mv Corrêa Dalbem, Marta
Cabus Klotzle, Marcelo
dc.subject.por.fl_str_mv finanças internacionais
gestão de carteiras
modelo VAR
Componentes Principais
international finance
portfolio management
VAR
Principal Components Analysis
finanzas internacionales
gestión de carteras
modelo VAR
Componentes Principales
topic finanças internacionais
gestão de carteiras
modelo VAR
Componentes Principais
international finance
portfolio management
VAR
Principal Components Analysis
finanzas internacionales
gestión de carteras
modelo VAR
Componentes Principales
description This research contributed to the fields of international finance and portfolio risk management, having aimed at identifying if international stock exchanges still bring diversification benefits to investors. Monthly data of the returns obtained in stock exchanges of 12 countries, for the past 12 years, were analyzed through econometric models, such as VAR and Principal Components Analysis, in order to identify the dynamic relationship of those markets. This research not only identified two different investment blocks (USA, UK, Switzerland, versus Thailand, Japan and India), but also spotted that Brazil is closer to the block of developed western countries, while South Africa is more aligned with the Asian markets. Canada and Australia have been neutral investment options. Results confirmed that arm of portfolio management literature that indicates that, despite the growing correlation among international stock exchanges, they can still provide diversification benefits to investors.
publishDate 2013
dc.date.none.fl_str_mv 2013-04-18
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
scientific article
articulo científico
Avaliado pelos pares
artigo científico
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/read/article/view/39020
url https://seer.ufrgs.br/index.php/read/article/view/39020
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/read/article/view/39020/25101
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do Rio Grande do Sul
publisher.none.fl_str_mv Universidade Federal do Rio Grande do Sul
dc.source.none.fl_str_mv Electronic Review of Administration; Vol. 15 No. 3 (2009): Edição 64 - set/dez 2009; 581-599
Revista Electrónica de Administración; Vol. 15 Núm. 3 (2009): Edição 64 - set/dez 2009; 581-599
Revista Eletrônica de Administração; v. 15 n. 3 (2009): Edição 64 - set/dez 2009; 581-599
1413-2311
1980-4164
reponame:REAd (Porto Alegre. Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str REAd (Porto Alegre. Online)
collection REAd (Porto Alegre. Online)
repository.name.fl_str_mv REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ea_read@ufrgs.br
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