International Portfolio Diversification and the 2007 Financial Crisis

Jacek Niklewski; Timothy Rodgers

doi:10.1057/9781137025098_10

International Portfolio Diversification and the 2007 Financial Crisis

Jacek Niklewski, Timothy Rodgers

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

By diversifying stock selection on an international basis, portfolio managers hope to improve the trade-off between risk and reward through a reduction in within-portfolio correlation levels. Although the benefits of this procedure can be considerable, the process of stock selection is not always clear cut. It was argued more than twenty years ago by French and Poterba (1991) that behavioral factors, such as biases in investor expectations, can lead to under-diversification in the international dimension. Portfolio managers wanting to optimize their stock selection can now be seen to face another important issue; namely, whether or not financial crisis results in significant long-term permanent changes in between-market correlation levels.

Original language	English
Title of host publication	Advances in Financial Risk Management
Subtitle of host publication	Corporates, Intermediaries and Portfolios
Editors	Jonathan A. Batten, Peter MacKay, Niklas Wagner
Place of Publication	Basingstoke
Publisher	Palgrave Macmillan UK
Pages	225-252
Number of pages	28
ISBN (Print)	978-1-137-02508-1
DOIs	https://doi.org/10.1057/9781137025098_10
Publication status	Published - 2013

Keywords

Financial crisis
Portfolio selection
Structural change
Correlation dynamics
GARCH

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10.1057/9781137025098_10

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International Portfolio Diversification and the 2007 Financial Crisis. / Niklewski, Jacek; Rodgers, Timothy.
Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios. ed. / Jonathan A. Batten; Peter MacKay; Niklas Wagner. Basingstoke: Palgrave Macmillan UK, 2013. p. 225-252.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

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International Portfolio Diversification and the 2007 Financial Crisis

Abstract

Keywords

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