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Comparative Determinants Of International Equity Diversification

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Comparative Determinants Of International Equity Diversification

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dc.contributor.author Zhang, Ying en_US
dc.date.accessioned 2008-08-08T02:31:11Z
dc.date.available 2008-08-08T02:31:11Z
dc.date.issued 2008-08-08T02:31:11Z
dc.date.submitted May 2008 en_US
dc.identifier.other DISS-2039 en_US
dc.identifier.uri http://hdl.handle.net/10106/951
dc.description.abstract This study provides a comprehensive, simultaneous comparison of the country and sector determinants of international diversification. Specifically, it bridges the theory between the cointegration methodology and diversification by linking market integration, cointegration and portfolio diversification. Cointegration tests are conducted to both analyze the stationarity of country and industry index covariances and to dissect the diversification contributions of each component. Portfolios comprised of market indices independent of cointegrating relations produce, on average, better risk-return profiles than those constructed from cointegrated market indices. Although country and sector allocations both contribute to independent market portfolio gains, the diversification determinants have differential impact on the components of portfolio risk. Additional tests affirm sector decisions provide stronger diversification gains than country allocation decisions. Finally, tests suggest institutional fund flows differentiate the performance of the independent and cointegrated portfolios. Mixed evidence suggests institutional flows may contribute to cointegrating relations although the effect is not pervasive. en_US
dc.description.sponsorship Gallo, John en_US
dc.language.iso EN en_US
dc.publisher Finance & Real Estate en_US
dc.title Comparative Determinants Of International Equity Diversification en_US
dc.type D.B.A. en_US
dc.contributor.committeeChair Gallo, John en_US
dc.degree.department Finance & Real Estate en_US
dc.degree.discipline Finance & Real Estate en_US
dc.degree.grantor University of Texas at Arlington en_US
dc.degree.level doctoral en_US
dc.degree.name D.B.A. en_US

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