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- W3125131987 abstract "Quantifying the evolution of security co-movements is critical for asset pricing and portfolio allocation, and so we investigate patterns and trends in correlations and tail dependence over time using weekly returns for developed markets (DMs) and emerging markets (EMs) during the period 1973-2009. We use the DECO, DCC, and BEKK correlation models, and develop a novel dynamic t-copula to allow for dynamic tail dependence. We show that it is possible to characterize co-movements for many countries simultaneously. Correlations have significantly trended upward for both DMs and EMs, but correlations between EMs are lower than between DMs. Further, our evidence clearly contradicts the decoupling hypothesis. The tail dependence has also increased for both EMs and DMs, but its level is still very low for EMs as compared to DMs. Thus, while our correlation analysis suggests that the diversification potential of EMs has reduced over time, the tail dependence analysis suggests that EMs offer diversification benefits during large market moves." @default.
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- W3125131987 date "2011-01-01" @default.
- W3125131987 modified "2023-09-24" @default.
- W3125131987 title "Is the Potential for International Diversification Disappearing?" @default.
- W3125131987 doi "https://doi.org/10.2139/ssrn.1783960" @default.
- W3125131987 hasPublicationYear "2011" @default.
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