Co-movements of sector index returns in the world's major stock markets in bull and bear markets: Portfolio diversification implications
In this paper, principal components analysis and Granger causality tests are used to study the portfolio diversification implications of the co-movements of sector indexes in the US, UK, German, French, and Japanese stock markets in bull and bear markets. We find that, in a bull market, investors ca...
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| Veröffentlicht in: | International review of financial analysis 2008, Vol.17 (1), p.156-177 |
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| container_title | International review of financial analysis |
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| creator | Meric, Ilhan Ratner, Mitchell Meric, Gulser |
| description | In this paper, principal components analysis and Granger causality tests are used to study the portfolio diversification implications of the co-movements of sector indexes in the US, UK, German, French, and Japanese stock markets in bull and bear markets. We find that, in a bull market, investors can obtain more benefit with global diversification than with domestic diversification even if they invest in the same sector in different countries as opposed to investing in different sectors within the same country. In a bear market, the sectors of different countries tend to be more closely correlated and country diversification opportunities are limited. |
| doi_str_mv | 10.1016/j.irfa.2005.12.001 |
| format | Article |
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| ispartof | International review of financial analysis, 2008, Vol.17 (1), p.156-177 |
| issn | 1057-5219 1873-8079 |
| language | eng |
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| source | RePEc; Elsevier ScienceDirect Journals Complete |
| subjects | Bear markets Bull and bear markets Bull markets Causality Co-movements of sector index returns Correlation analysis Diversification Global portfolio diversification Granger causality Portfolio diversification Principal components analysis Securities markets Stock exchanges Studies |
| title | Co-movements of sector index returns in the world's major stock markets in bull and bear markets: Portfolio diversification implications |
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