Do ETFs provide effective international diversification?

Research in International Business and Finance - Tập 25 - Trang 335-344 - 2011
Mei-Yueh Huang1, Jun-Biao Lin2
1Department of Industrial Management, Lunghwa University of Science and Technology, Taiwan
2Department of Money and Banking, National Kaohsiung First University of Science and Technology, Taiwan

Tài liệu tham khảo

Amadi, A., 2004. Equity home bias: a disappearing phenomenon. Unpublished Working Paper. Andrews, 2003, Testing when a parameter is on the boundary of the maintained hypothesis, Econometrica, 69, 683, 10.1111/1468-0262.00210 Bailey, 1992, Evaluating the diversification benefits of the new country funds, J. Portfolio Manage., 18, 74, 10.3905/jpm.1992.409405 Bali, 2000, Testing the empirical performance of stochastic volatility models of the short-term interest rate, J. Financ. Quant. Anal., 35, 215, 10.2307/2676190 Berrill, 2010, Firm-level analysis of the international diversification of small integrated stock markets: Ireland 1999–2007, Res. Int. Bus. Finance, 24, 172, 10.1016/j.ribaf.2009.11.003 Berril, 2010, International diversification and the home bias puzzle, J. Econ. Bus., 62, 235, 10.1016/j.jeconbus.2010.02.002 Campbell, 2001, Optimal portfolio selection in a Value-at-Risk framework, J. Bank. Finance, 25, 1789, 10.1016/S0378-4266(00)00160-6 Chang, 1995, International diversification through closed-end country funds, J. Bank. Finance, 19, 1237, 10.1016/0378-4266(94)00122-J Chou, 1997, A test of relative efficiency between two sets of securities, Appl. Financ. Econ., 7, 193, 10.1080/096031097333754 Dembo, 1997, Value at risk and return, Electron. J. Financ. Risk Doran, J.S., Peterson, D.R., Boney, V., 2006. The effect of the Spider Exchange Traded Fund on the cash flow of funds of S&P index mutual funds. Working Paper. Dowd, 1998 Dowd, 1999, A value at risk approach to risk-return analysis, J. Portfolio Manage., 25, 60, 10.3905/jpm.1999.319755 Goetzmann, 1999, Global stock markets in the twentieth century, J. Finance, 54, 953, 10.1111/0022-1082.00133 Grubel, 1968, Internationally diversified portfolios: welfare gains and capital flows, Am. Econ. Rev., 58, 1299 Harvey, 1995, Predictable risk and returns in emerging markets, Rev. Financ. Stud., 8, 773, 10.1093/rfs/8.3.773 Hodges, 1998 Ingersoll, 1987 Johnson, 1993, Closed-end country funds: exchange rate and investment risk, Financ. Anal. J., 49, 74, 10.2469/faj.v49.n6.74 Lessard, 1976, World, country and industry relationships in equity returns: implications for risk reduction through international diversification, Financ. Anal. J., 32, 32, 10.2469/faj.v32.n1.32 Levy, 1970, International diversification of investment portfolios, Am. Econ. Rev., 60, 668 Meric, 1989, Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships, J. Bank. Finance, 13, 627, 10.1016/0378-4266(89)90034-4 Patro, 2001, Market segmentation and international asset prices: evidence from the listing of world equity benchmark shares, J. Financ. Res., 24, 83, 10.1111/j.1475-6803.2001.tb00819.x Pennathur, 2002, Diversification benefits of iShares and closed-end country funds, J. Financ. Res., 25, 541, 10.1111/1475-6803.00036 Poterba, 2002, Exchange-traded funds: a new investment option for taxable investors, Am. Econ. Rev., 92, 422, 10.1257/000282802320191732 Rowland, 2004, Multinationals and the gains from international diversification, Rev. Econ. Dyn., 7, 78, 10.1016/j.red.2004.05.001 Sharpe, 1966, Mutual fund performance, J. Bus., 39, 119, 10.1086/294846 Solink, 1974, The international pricing of risk: an empirical investigation of the world capital market structure, J. Econ. Theory, 29, 365 Solnik, 1996, International market correlation and volatility, Financ. Anal. J., 52, 17, 10.2469/faj.v52.n5.2021 Tsai, 2009, The comparative role of iShares and country funds in internationally diversified portfolios, J. Econ. Bus., 61, 472, 10.1016/j.jeconbus.2009.06.003 Turner, 2008, ETF assets to pass $1 trillion, Wealth Bull.