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Portfolio diversification and the inter-temporal stability of international stock indices

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  • Ratner, Mitchell

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  • Ratner, Mitchell, 1992. "Portfolio diversification and the inter-temporal stability of international stock indices," Global Finance Journal, Elsevier, vol. 3(1), pages 67-77.
    • Handle: RePEc:eee:glofin:v:3:y:1992:i:1:p:67-77
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    Cited by:

    1. Wilson, Patrick James & Okunev, John & Webb, James J, 1998. "Step Interventions and Market Integration: Tests in the U.S., U.K., and Australian Property Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 16(1), pages 91-123, January.
    2. Mr. Thomas Kraus, 2001. "The Impact of the EMUon the Structure of European Equity Returns: An Empirical Analysis of the First 21 Months," IMF Working Papers 2001/084, International Monetary Fund.
    3. Meyer, Thomas O. & Rose, Lawrence C., 2003. "The persistence of international diversification benefits before and during the Asian crisis," Global Finance Journal, Elsevier, vol. 14(2), pages 217-242, July.
    4. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    5. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
    6. Michael Rockinger & Eric Jondeau, 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working Papers hal-00601478, HAL.
    7. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
    8. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
    9. Pat Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets," Working Paper Series 49, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Francois Chesnay & Eric Jondeau, 2001. "Does Correlation Between Stock Returns Really Increase During Turbulent Periods?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, February.
    11. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    12. Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
    13. Pat Wilson & John Okunev, 1996. "Unit Root Testing with Known and Unknown Structural Breaks in Property and Equity Markets," Working Paper Series 62, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    14. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes," Papers 05-10, Sonderforschungsbreich 504.
    15. Fooladi, Iraj J. & Rumsey, John, 2006. "Globalization and portfolio risk over time: The role of exchange rate," Review of Financial Economics, Elsevier, vol. 15(3), pages 223-236.

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