search query: @journal_id 56 / total: 1032
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| Author: | Zhong, M. Yang, H. |
| Title: | Risk exposures and international diversification: Evidence from iShares |
| Journal: | Journal of Business Finance and Accounting
2005 : APR/MAY, VOL 32:3-4, p. 737-771 |
| Index terms: | International Diversification Risk Shares Models Stock exchanges USA |
| Language: | eng |
| Abstract: | This study examines the newly developed international diversification instruments - iShares traded on the American Stock Exchange. The daily price of an iShare is expected to be equal to the daily portfolio value of the underlying assets in the home-country market. The risk exposure of iShare prices to the U.S. market(non-fundamental effect) as well as the home-country market(the fundamental effect) is evaluated. It is found among others that most iShare returns are significantly influenced by and sensitive to the U.S. market risk. The findings indicate the presence of limits of international arbitrage for iShares. |
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