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題名 International diversification: An extreme value approach
作者 Loran Chollete;Victor de la Pena;盧敬植
Loran Chollete;Victor de la Pena; Lu, Ching-Chih
貢獻者 政大財管系
關鍵詞 Diversification;Downside Risk;Correlation complexity;Extreme value;Systemic risk
日期 2012-03
上傳時間 6-十二月-2013 15:22:59 (UTC+8)
摘要 International diversification has costs and benefits, depending on the degree of asset dependence. We study international diversification with two dependence measures: correlations and extreme dependence. We discover that dependence has typically increased over time, and document mixed evidence on heavy tails in individual countries. Moreover, we uncover three additional findings related to dependence. First, the timing of downside risk differs depending on the region. Surprisingly, recent Latin American returns exhibit little downside risk. Second, Latin America exhibits a great deal of correlation complexity. Third, according to the empirical results, correlation does not vary with returns, but extreme dependence does vary monotonically with regional returns. Our results are consistent with a tradeoff between international diversification and systemic risk. They also suggest international limits to diversification, and that international investors demand some compensation for joint downside risk during extreme events.
關聯 Journal of Banking and Finance, 36(3), 871-885
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.jbankfin.2011.09.015
dc.contributor 政大財管系en_US
dc.creator (作者) Loran Chollete;Victor de la Pena;盧敬植en_US
dc.creator (作者) Loran Chollete;Victor de la Pena; Lu, Ching-Chihen_US
dc.date (日期) 2012-03en_US
dc.date.accessioned 6-十二月-2013 15:22:59 (UTC+8)-
dc.date.available 6-十二月-2013 15:22:59 (UTC+8)-
dc.date.issued (上傳時間) 6-十二月-2013 15:22:59 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/62222-
dc.description.abstract (摘要) International diversification has costs and benefits, depending on the degree of asset dependence. We study international diversification with two dependence measures: correlations and extreme dependence. We discover that dependence has typically increased over time, and document mixed evidence on heavy tails in individual countries. Moreover, we uncover three additional findings related to dependence. First, the timing of downside risk differs depending on the region. Surprisingly, recent Latin American returns exhibit little downside risk. Second, Latin America exhibits a great deal of correlation complexity. Third, according to the empirical results, correlation does not vary with returns, but extreme dependence does vary monotonically with regional returns. Our results are consistent with a tradeoff between international diversification and systemic risk. They also suggest international limits to diversification, and that international investors demand some compensation for joint downside risk during extreme events.en_US
dc.format.extent 328420 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Banking and Finance, 36(3), 871-885en_US
dc.subject (關鍵詞) Diversification;Downside Risk;Correlation complexity;Extreme value;Systemic risken_US
dc.title (題名) International diversification: An extreme value approachen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.jbankfin.2011.09.015en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.jbankfin.2011.09.015en_US