The impact of financial crises on international diversification

Schwebach, Robert G.; Olienyk, John; Zumwalt, J. Kenton

doi:10.1016/s1044-0283(02)00050-9

Cited by 27 publications

(15 citation statements)

References 5 publications

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“…Examining the degree of integration among major stock markets prior to, and after, the wave of globalization that occurred in the 1980s, Masih and Masih (2002) find that these markets became more integrated postglobalization. Schwebach, Olienyk and Zumwalt (2002) observe that the benefits of international diversification have declined significantly after the Asian crisis of 1997. Mun (2005) notes that the cross-market contagion effect of 9/11 has created an adverse investment environment for internationally diversified investors, with the impact reaching stock markets in the UK, Germany and Japan.…”

Section: Literature Reviewmentioning

confidence: 99%

Sectoral Integration and Domestic Portfolio Diversification in the Karachi Stock Exchange

Ahmed¹,

Malik²,

Awan³

et al. 2017

LJB

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This study analyzes sectoral integration among the top ten sectors listed on the Karachi Stock Exchange (KSE), using a market value-weighted index and daily stock price data for 2001–14. Since the literature shows that domestically diversified portfolios outperform globally diversified ones, the study’s results have implications for the construction of well-diversified domestic portfolios among individual and institutional investors. We find that, apart from automobiles and cement, all other sectors listed on the KSE provide good diversification opportunities. The Granger causality test shows that cement, chemicals and banking cause most other sectors uni-directionally, while oil and gas, biotechnology and pharmaceuticals, textiles, and electricity are caused by most other sectors. From a domestic investor’s perspective, the KSE provides reasonable diversification opportunities across different sectors.

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Section: Literature Reviewmentioning

confidence: 99%

Sectoral Integration and Domestic Portfolio Diversification in the Karachi Stock Exchange

Ahmed¹,

Malik²,

Awan³

et al. 2017

LJB

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“…Schwebach et al (2002) examine World Equity Benchmark Shares 1 Here we concentrate on benchmark studies. Shawky et al (1997) provide a more comprehensive review of past literature.…”

Section: The Literaturementioning

confidence: 99%

“…However, more recent studies reveal increasing correlations (decreasing diversification benefits) between markets over time, especially during more volatile periods, bear markets, business downturns, and financial crises (for example, see Erb et al 1994;Longin and Solnik 1995;Shawky et al 1997;Longin and Solnik 2001;and Schwebach et al 2002). This increase in correlations over time, as well as the associated asymmetric correlations during different types of markets, raises the question of what statistical characteristics of the underlying return distributions are associated with these asymmetric diversification results and whether behavior rather than economic fundamentals are related to these results.…”

Section: Introductionmentioning

confidence: 99%

The strength and source of asymmetric international diversification

You

Daigler

2009

J Econ Finan

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“…For instance, Brooks and Negro (2004) found that the correlation has been increasing between the developed stock markets, which reduces the diversification benefits. Similarly, the potential benefits have changed in other markets too (Schwebach, Olienyk, & Zumwalt, 2002). Besides, scholars have analysed the impact of financial crisis on the co-movement of stock markets (Bekiros, 2014;Bianconi, Yoshino, & De Sousa, 2013;Gklezakou & Mylonakis, 2009;Yang, Kolari, & Min, 2003), thereby, benefits of diversification.…”

Section: Introductionmentioning

confidence: 99%

Untitled

2019

AAMJAF

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We investigate the changes in the co-movement dynamics in the stock market returns of Brazil, Russia, India, China and South Africa (BRICS) with that of US during pre and post-global financial crisis (GFC). The stock returns of BRICS and the US markets over the period of 1999-2016 are analysed using wavelet transformation, with equal time phase of eight years on both sides of GFC. We find the existence of co-movement at both high and low frequencies. In addition, the contagion effect is also noted around the GFC year 2008. Further we also report that despite the high correlation of BRICS portfolio, it facilitates asset diversification benefits in the medium run. Finally, there is significant changes in correlation dynamics for Russia and China during post-GFC period, whereas the multiple correlations dynamics amongst BRICS markets remain unchanged.

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The impact of financial crises on international diversification

Cited by 27 publications

References 5 publications

Sectoral Integration and Domestic Portfolio Diversification in the Karachi Stock Exchange

Sectoral Integration and Domestic Portfolio Diversification in the Karachi Stock Exchange

The strength and source of asymmetric international diversification

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