DIVERSIFICATION IN INTERNATIONAL STOCK EXCHANGES: AN EMPIRICAL ANALYSIS OF DEVELOPED AND EMERGING COUNTRIES
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | |
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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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 |
_version_ |
1799766202447298560 |