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Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis

Yıl 2017, Cilt: 7 Sayı: 3, 639 - 661, 01.09.2017

Öz

I use Principal Component Analysis to create an index of portfolio diversification- a quantifiable measure of diversification opportunities offered to US investors by financial markets abroad. The index is estimated for three market clusters: developed, emerging, and world (emerging and developed combined). During the period under study, the portfolio diversification indices for all three clusters display considerable dynamics. This is suggestive of highly variable benefits from investing abroad. In addition, I find that while the diversification opportunities offered by all three market clusters on average decrease between 1995 and 2014, after 2012 they either level off or begin to increase. Furthermore, my study finds that the homogeneity of international markets as well as their vulnerability to common shocks increase simultaneously, regardless of the type of market. Therefore, international diversification is unlikely to provide protection against global shocks. Finally, I find that the level of diversification opportunities is expected to increase, however, decreases are not unlikely.

Yıl 2017, Cilt: 7 Sayı: 3, 639 - 661, 01.09.2017

Öz

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Ayrıntılar

Diğer ID JA43RG74HZ
Bölüm Araştırma Makalesi
Yazarlar

Galin K. Todorov Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 7 Sayı: 3

Kaynak Göster

APA Todorov, G. K. (2017). Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis. International Journal of Economics and Financial Issues, 7(3), 639-661.
AMA Todorov GK. Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis. IJEFI. Eylül 2017;7(3):639-661.
Chicago Todorov, Galin K. “Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis”. International Journal of Economics and Financial Issues 7, sy. 3 (Eylül 2017): 639-61.
EndNote Todorov GK (01 Eylül 2017) Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis. International Journal of Economics and Financial Issues 7 3 639–661.
IEEE G. K. Todorov, “Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis”, IJEFI, c. 7, sy. 3, ss. 639–661, 2017.
ISNAD Todorov, Galin K. “Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis”. International Journal of Economics and Financial Issues 7/3 (Eylül 2017), 639-661.
JAMA Todorov GK. Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis. IJEFI. 2017;7:639–661.
MLA Todorov, Galin K. “Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis”. International Journal of Economics and Financial Issues, c. 7, sy. 3, 2017, ss. 639-61.
Vancouver Todorov GK. Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis. IJEFI. 2017;7(3):639-61.