Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships

Ilhan Meric, Gulser Meric

Research output: Contribution to journalArticlepeer-review

81 Scopus citations

Abstract

In this paper, we find empirical evidence that diversification across countries results in greater risk reduction than diversification across industries. Our inter-temporal stability tests indicate that, the longer the time period considered, the better proxies ex post patterns of co-movement can be for the ex ante co-movements of international stock markets. Our seasonality tests show that international stock market co-movements are stable in the September-May period, but relatively unstable in the May-September period.

Original languageEnglish (US)
Pages (from-to)627-640
Number of pages14
JournalJournal of Banking and Finance
Volume13
Issue number4-5
DOIs
StatePublished - Sep 1989

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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