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Measuring country event risk compensation on BRICs international portfolio management

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  • Shu-Hsien Chen
  • Ming-Shu Hua
  • Richard Stuetz

Abstract

The BRICs nations (Brazil, Russia, India and China) have a strong relative economic growth pattern in the world among economic powers. The allure of globalization has made the analysis and assessment of national critical component of international portfolio management in recent years. We construct the model from comparing the relative SD of stock return whereby higher SDs are generally associated with more risk. This relative SD forms a principle component in the change of the weights on the international portfolio choice. The result shows that event jump risk not only makes the investor's allocation more conservative overall, but also it can be compensated on BRICs event risk.

Suggested Citation

  • Shu-Hsien Chen & Ming-Shu Hua & Richard Stuetz, 2008. "Measuring country event risk compensation on BRICs international portfolio management," Applied Economics, Taylor & Francis Journals, vol. 40(5), pages 657-665.
    • Handle: RePEc:taf:applec:v:40:y:2008:i:5:p:657-665
    DOI: 10.1080/00036840600749474
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    Cited by:

    1. Kargi, Bilal, 2014. "Structural Breakage and Long-term Cointegration Analysis for Economic Growth in G-7, BRICS and MATIK Countries," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 13(4), pages 431-442.

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