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- W3210341489 abstract "Recent literature supports the view that returns of most of the international equity markets are significantly integrated. However, diversification based across different regions remains a focus of attention for the investment community. We examine the presence of returns integration among BRICS, Latin American, and emerging and frontier Asian equity markets by utilizing panel co-integration and panel regression, i.e., fully modified ordinary least square (FMOLS), to examine portfolio diversification opportunities. Our sampling of data comprises of daily stock return from 1st September 1997 to 30th November 2018. Our findings highlight that within the region, portfolio diversification does not provide optimal returns. Furthermore, empirical results from the vector error correction model (VECM) suggest the benefits of portfolio diversification in the short-run. In particular, not all equity markets are significantly linked with gold, oil, and forex markets. Our empirical analysis reveals that within the region, equity-commodity portfolios may lead to greater diversification gains." @default.
- W3210341489 created "2021-11-08" @default.
- W3210341489 creator A5001100407 @default.
- W3210341489 creator A5008279816 @default.
- W3210341489 creator A5062754773 @default.
- W3210341489 creator A5091496195 @default.
- W3210341489 date "2022-02-01" @default.
- W3210341489 modified "2023-09-30" @default.
- W3210341489 title "Does inter-region portfolio diversification pay more than the international diversification?" @default.
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- W3210341489 doi "https://doi.org/10.1016/j.qref.2021.10.004" @default.
- W3210341489 hasPublicationYear "2022" @default.
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