On the Robustness of International Portfolio Diversification Benefits to Regime-switching Volatility

Flavin, Thomas J., Panopoulou, Ekaterini (2009) On the Robustness of International Portfolio Diversification Benefits to Regime-switching Volatility. Journal of International Financial Markets, Institutions and Money, 19 (1). pp. 140-156. ISSN 1042-4431. (doi:10.1016/j.intfin.2007.09.002) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:34301)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL: http://dx.doi.org/10.1016/j.intfin.2007.09.002

Abstract

We examine if the benefits of international portfolio diversification are robust to time-varying asset return volatility. Since diversified portfolios are subject to common cross-country shocks, we focus on the transmission mechanism of such shocks in the presence of regime-switching volatility. Generally, market linkages are stable with little evidence of increased market interdependence in turbulent periods. Furthermore, risk reduction is consistently delivered for the US investor who holds foreign equity.

Item Type:	Article
DOI/Identification number:	10.1016/j.intfin.2007.09.002
Uncontrolled keywords:	Market comovement; Shift contagion; Financial market crises; International portfolio diversification; Regime switching
Subjects:	H Social Sciences H Social Sciences > H Social Sciences (General)
Institutional Unit:	Schools > Kent Business School
Former Institutional Unit:	Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User:	Catherine Norman
Date Deposited:	17 Jun 2013 14:33 UTC
Last Modified:	20 May 2025 11:49 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/34301 (The current URI for this page, for reference purposes)

University of Kent Author Information

Panopoulou, Ekaterini.

Creator's ORCID:	https://orcid.org/0000-0001-5080-9965
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