search query: @indexterm DIVERSIFICATION / total: 686
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| Author: | Errunza, V. Hogan, K. Hung, M. |
| Title: | Can the gains from international diversification be achieved without trading abroad? |
| Journal: | Journal of Finance
1999 : DEC, VOL. 54:6, p. 2075-2107 |
| Index terms: | FINANCE DIVERSIFICATION INTERNATIONAL |
| Language: | eng |
| Abstract: | The authors examine whether portfolios of domestically traded securities can mimic foreign indices so that investment in assets that trade only abroad is not necessary to exhaust the gains from international diversification. The authors use monthly data from 1976 to 1993 for seven developed and nine emerging markets. Return correlations, mean-variance spanning, and Sharpe ratio test results provide strong evidence that gains beyond those attainable through home-made diversification have become statistically and economically significant. |
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