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.
Srianathakumar, Sivagowry; Maheshwari, Greeni; and Ur Rehman, Mobeen
"DIVERSIFICATION GAINS FOR A HOME BIASED TRADER IN THE EMERGING AND FRONTIER EQUITY MARKETS,"
Bulletin of Monetary Economics and Banking: Vol. 24:
3, Article 1.
Available at: https://bulletin.bmeb-bi.org/bmeb/vol24/iss3/1