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Bulletin of Monetary Economics and Banking

Document Type

Article

Abstract

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.

First Page

385

Last Page

414

Creative Commons License

Creative Commons Attribution-NonCommercial 4.0 International License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Australia

Affiliation

Independent Researcher

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