在新兴和前沿股票市场中，偏向本土的交易者可以获得多样化收益

Q2 Economics, Econometrics and Finance Buletin Ekonomi Moneter dan Perbankan Pub Date : 2021-09-30 DOI:10.21098/bemp.v24i3.1702

S. Narayan, Sivagowry Srianathakumar, Greeni Maheshwari, M. Rehman

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引用次数: 0

摘要

我们研究了一位总部位于亚洲、中欧和东欧、中东和北非或拉丁美洲的有本土偏见的股票交易员的案例，他正在考虑在其所在地区和其他三个新兴/前沿地区实现国际投资风险的多元化。我们重点解释了2002年1月3日至2016年11月11日股票市场之间的动态条件相关性。不同地区的几个国家都有不同的多样化机会。然而，一个地区以外的多元化机会在很大程度上是为糟糕时期保留的，比如在全球金融危机和欧洲主权债务危机期间。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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DIVERSIFICATION GAINS FOR A HOME BIASED TRADER IN THE EMERGING AND FRONTIER EQUITY MARKETS

We study the case of a home-biased equity trader based in Asia, Central and Eastern Europe, the Middle East and North Africa, or Latin America, who is looking at diversifying his/her investment risks internationally within his/her region and three other emerging/frontier regions. We focus on explaining the dynamic conditional correlations between equity markets from 3 January 2002 to 11 November 2016. Timevarying opportunities for diversification are found in several nations across regions. However, diversification opportunities outside a region are largely reserved for bad times, such as during the global financial crisis and the European sovereign debt crisis.

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