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Long-run benefits from international equity diversification: a note on the Canadian evidence

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  • Angelos Kanas

Abstract

This note provides evidence that there exist long-run benefits for a Canadian investor from diversifying in the equity markets of the US, Japan, and the six largest European markets namely those of the UK, Germany, France, Switzerland, Italy and the Netherlands. This evidence is based on tests for pairwise cointegration between the Canadian national equity index and the equity index for each of the other markets.

Suggested Citation

  • Angelos Kanas, 1998. "Long-run benefits from international equity diversification: a note on the Canadian evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(10), pages 659-663.
    • Handle: RePEc:taf:apeclt:v:5:y:1998:i:10:p:659-663
    DOI: 10.1080/135048598354366
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    Cited by:

    1. Chang, Tsangyao & Caudill, Steven B., 2006. "A note on the long-run benefits from international equity diversification for a Taiwan investor diversifying in the US equity market," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 57-67.
    2. Tsangyao Chang, 2001. "Are there any long-run benefits from international equity diversification for Taiwan investors diversifying in the equity markets of its major trading partners, Hong Kong, Japan, South Korea, Thailand," Applied Economics Letters, Taylor & Francis Journals, vol. 8(7), pages 441-446.
    3. Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
    4. Ahmed, Walid M.A., 2011. "Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange," MPRA Paper 28127, University Library of Munich, Germany.
    5. Hooi Hooi Lean & B. N. Ghosh, 2010. "Economic Integration in Asia: Quo Vadis Malaysia?," International Economic Journal, Taylor & Francis Journals, vol. 24(2), pages 237-248.
    6. Ahmed, Walid M.A., 2008. "Cointegration and dynamic linkages of international stock markets: an emerging market perspective," MPRA Paper 26986, University Library of Munich, Germany.
    7. Hüseyin Dağli; & Uğur Sivri & Semra Bank, 2012. "International portfolio diversification opportunities between Turkey and other emerging markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(1), pages 4-23.
    8. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

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