Please use this identifier to cite or link to this item:
Title: Degrees of integration in international portfolio diversification : effective systemic risk
Authors: Thalassinos, Eleftherios
Kiriazidis, Theo
Keywords: Market segmentation
Capital market
Capital assets pricing model
Portfolio management
Issue Date: 2003
Publisher: University of Piraeus. International Strategic Management Association
Citation: Thalassinos, E., & Kiriazidis, T. (2003). Degrees of integration in international portfolio diversification: effective systemic risk. European Research Studies Journal, 6(1-2), 111-122.
Abstract: This paper focuses on measuring the degrees of market integration (or segmentation) providing a tool for country selection in international portfolio diversification. It develops methodology measuring effective systemic risk as a proxy of market integration (or segmentation) and therefore allows for appropriate country selection in the better-performing stock markets of the world. The empirical evidence is used to clarify the conclusions about internationally integrated versus segmented markets. Some markets appear more integrated than one might have expected based on information of investment restrictions. Other markets appear segmented despite the fact that foreign investors have relatively free access to their capital markets. This is because these markets were less responsible to the world trend than others. Thus, still international diversification allows investors to reduce the risk and increase the expected return, shifting the efficient frontier to the left.
ISSN: 11082976
Appears in Collections:European Research Studies Journal, Volume 6, Issue 1-2

Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.