Financial Integration and International Portfolio Diversification (notice n° 698619)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01458cam a2200193 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121212630.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Arouri, Mohamed El Hédi |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Financial Integration and International Portfolio Diversification |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2005.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 78 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This article examines the impact of financial integration on the gains expected from international diversification of portfolios. For this purpose, we develop an asymmetric extension of the GARCH multivariate model and test a conditional version of the ICAPM (International Capital Asset Pricing Model). Our results give backing to the assumption of integration of stock markets in the G-7 countries. Examination of the dynamics of gains from diversification shows that they are significant for all markets but vary considerably overtime and space. In particular, we find that, except for France and theUnited Kingdom, these gains showed only a slight tendency to decline. A more interesting conclusion is that in recent years these gains have once more risen above their averages for the period as a whole. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | international asset pricing |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | portfolio diversification |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | financial integration |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Economie & prévision | o 168 | 2 | 2005-04-01 | p. 115-132 | 0249-4744 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-economie-et-prevision-1-2005-2-page-115?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-economie-et-prevision-1-2005-2-page-115?lang=en&redirect-ssocas=7080</a> |
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