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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/62222

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/62222

Title:	International diversification: An extreme value approach
Authors:	Loran Chollete;Victor de la Pena;盧敬植 Loran Chollete;Victor de la Pena;Lu, Ching-Chih
Contributors:	政大財管系
Keywords:	Diversification;Downside Risk;Correlation complexity;Extreme value;Systemic risk
Date:	2012-03
Issue Date:	2013-12-06 15:22:59 (UTC+8)
Abstract:	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.
Relation:	Journal of Banking and Finance, 36(3), 871-885
Data Type:	article
DOI 連結:	http://dx.doi.org/http://dx.doi.org/10.1016/j.jbankfin.2011.09.015
DOI:	10.1016/j.jbankfin.2011.09.015
Appears in Collections:	[財務管理學系] 期刊論文

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