haku: @indexterm INDUSTRIAL STRUCTURE / yhteensä: 282
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| Tekijä: | Brooks, R. Del Negro, M. |
| Otsikko: | The rise in comovement across national stock markets: market integration or IT bubble? |
| Lehti: | Journal of Empirical Finance
2004 : DEC, VOL. 11:5, p. 659-680 |
| Asiasana: | International Financial markets Diversification Risk Industrial structure |
| Kieli: | eng |
| Tiivistelmä: | A stylized fact in the portfolio diversification (hereafter as: div.) literature is that diversifying (here as: div-g.) across countries is more effective than div-g. across industries in terms of risk reduction. However, since the mid-1990s, this no longer appears to be true. This paper explores if this change is driven by global integration, and likely to be permanent, or if it is a temporary phenomenon associated with the recent stock market bubble. The results point to the latter hypothesis. In the aftermath of the bubble, div-g. across countries may therefore still be effective in reducing portfolio risk. |
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