Please use this identifier to cite or link to this item: https://hdl.handle.net/1959.11/13539
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dc.contributor.authorValadkhani, Abbasen
dc.contributor.authorChancharat, Surachaien
dc.contributor.authorHarvie, Charlesen
dc.date.accessioned2013-10-16T14:07:00Z
dc.date.issued2008en
dc.identifier.citationStudies in Economics and Finance, 25(3), p. 165-174en
dc.identifier.issn1755-6791en
dc.identifier.issn1086-7376en
dc.identifier.urihttps://hdl.handle.net/1959.11/13539en
dc.description.abstractPurpose - The purpose of this paper is to investigate the relationships between stock market returns of 13 countries based upon monthly data spanning December 1987 to April 2007. Design/methodology/approach - Specifically, the principal component (PC) and maximum likelihood (ML) methods are used to examine any discernable patterns of stock market co-movements. Findings - Factor analysis provides evidence that stock returns in a number of Asian countries are highly correlated and, based on the resulting robust factor loadings, they form the first well-defined common factor. The paper also finds consistent results (based on both the PC and ML methods) suggesting that the stock market returns of developed countries are also highly correlated, and constitute our second factor. Practical implications - The paper concludes that, inter alia, geographical proximity and the level of economic development do matter when it comes to co-movements of stock returns and that this has important implications for financial portfolio diversification if the aim is to reduce systematic risks across countries. Originality/value - Very few previous studies have investigated the benefits from portfolio diversification by using the PC and ML methods.en
dc.languageenen
dc.publisherEmerald Group Publishing Ltden
dc.relation.ispartofStudies in Economics and Financeen
dc.titleA factor analysis of international portfolio diversificationen
dc.typeJournal Articleen
dc.identifier.doi10.1108/10867370810894693en
dc.subject.keywordsInvestment and Risk Managementen
local.contributor.firstnameAbbasen
local.contributor.firstnameSurachaien
local.contributor.firstnameCharlesen
local.subject.for2008150205 Investment and Risk Managementen
local.subject.seo2008900102 Investment Services (excl. Superannuation)en
local.profile.schoolUNE Business Schoolen
local.profile.schoolEconomicsen
local.profile.schoolEconomicsen
local.profile.emailavaladk2@une.edu.auen
local.output.categoryC1en
local.record.placeauen
local.record.institutionUniversity of New Englanden
local.identifier.epublicationsrecordune-20130905-12096en
local.publisher.placeUnited Kingdomen
local.format.startpage165en
local.format.endpage174en
local.peerreviewedYesen
local.identifier.volume25en
local.identifier.issue3en
local.contributor.lastnameValadkhanien
local.contributor.lastnameChancharaten
local.contributor.lastnameHarvieen
dc.identifier.staffune-id:avaladk2en
local.profile.roleauthoren
local.profile.roleauthoren
local.profile.roleauthoren
local.identifier.unepublicationidune:13751en
dc.identifier.academiclevelAcademicen
local.title.maintitleA factor analysis of international portfolio diversificationen
local.output.categorydescriptionC1 Refereed Article in a Scholarly Journalen
local.description.statisticsepubsVisitors: 172<br />Views: 172<br />Downloads: 0en
local.search.authorValadkhani, Abbasen
local.search.authorChancharat, Surachaien
local.search.authorHarvie, Charlesen
Appears in Collections:Journal Article
UNE Business School
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