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研究生:張雅閔
研究生(外文):Ya-Min Chang
論文名稱:Diversification in emerging stock markets:country effects versus industry effects
論文名稱(外文):Diversification in emerging stock markets:country effects versus industry effects
指導教授:葉彩蓮葉彩蓮引用關係
指導教授(外文):Tasi-Lien Yeh
學位類別:碩士
校院名稱:銘傳大學
系所名稱:國際企業學系碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:98
語文別:英文
論文頁數:70
中文關鍵詞:投資組合多角化產業效果國家效果
外文關鍵詞:country effectsportfolio diversification.industry effects
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This study examines the influence of country and industry factors. We estimate a factor model for the emerging markets and 10 industrial group returns indexes from January 2000 to December 2009 to measure the relative importance of industry and country effects. This study concentrates on the implications of the changing structure of security returns for asset management. We find that emerging markets’ returns are mainly driven by country factors, as it was shown previously in studies for mature markets. These results have important implications in regard to international portfolio diversification: cross-market diversification seems to be a better bet than cross-industry diversification.
This study examines the influence of country and industry factors. We estimate a factor model for the emerging markets and 10 industrial group returns indexes from January 2000 to December 2009 to measure the relative importance of industry and country effects. This study concentrates on the implications of the changing structure of security returns for asset management. We find that emerging markets’ returns are mainly driven by country factors, as it was shown previously in studies for mature markets. These results have important implications in regard to international portfolio diversification: cross-market diversification seems to be a better bet than cross-industry diversification.
CONTENTS
致謝 II
ABSTRACT III
CONTENTS IV
CHAPTER 1 INTRODUCTION 1
1.1 Motivation and Background 1
1.2 Objective 4
1.3 Structure 6
CHAPTER 2 LITERATURE REVIEW 8
2.1 Country Effects is better than Industry Effects 8
2.2 Industry Effect is better than Country Effects 16
2.3 Specific Industry Effects 26
CHAPTER 3 MODEL SPECIFICATIONS AND METHODOLOGY 30
3.1 Mean-Variance Frontiers 30
3.2 Spanning and Intersection Tests 37
3.3 Data 41
CHAPTER 4 EMPIRICAL RESULTS 42
4.1 Mean-Variance Frontier 42
4.2 Mean-Variance spanning test 46
CHAPTER 5 CONCLUSIONS AND SUGGESTIONS 49
REFERENCES 52
REFERENCES
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2.Adjaout’e, K. and Danthine, J. P. (2003). European financial integration and equity returns: a theory-based assessment. In: V. Gaspar P. Hartmann and O.Sleijpen (Eds.), The Transformation of the European Financial System, Chapter 5, pp. 185-245.
3.Adjaout’e, K. and Danthine, J. P. (2004). Portfolio diversification: alive and well in Euroland! Applied Financial Economics, pp. 1225-1231.
4.Brooks, R. and Del Negro, M. (2003). A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns. Federal Reserve Bank of Atlanta, Working Paper, No. 2002-23b.
5.Brooks, R. and Del Negro, M. (2004). The rise in comovement across national stock markets: market integration or IT bubble? Journal of Empirical Finance, 11, pp. 649-680.
6.Brooks, R. and Del Negro, M. (2005). Country versus region effects in international stock returns. Journal of Portfolio Management Summer, pp. 67-72.
7.Carrieri, F., Errunza, V., and Sarkissian, S. (2004). Industry risk and market integration. Management Science, 50, pp. 207-221.
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9.De M’enil, G. (1999). Real capital market integration in the EU: how far has it gone? What will the effect of the euro be? Economic Policy: A European Forum, 28, pp. 165-189.
10.De Roon, F. A. and Nijman, T. E. (2001). Testing for mean-variance spanning: a survey. Journal of Empirical Finance, 8, pp. 111-155.
11.Ehling, P. and Ramos, S.B. (2003). Geographical Versus Industrial Diversification: a Mean Variance Spanning Approach. FAME Research Paper, No. 80.
12.Eiling, E., G’erard, B., De Roon, F.A. (2005). International Diversification in the Euro-zone: the Increasing Riskiness of Industry Portfolios. SSRN Working Paper.
13.Flavin, T.J. (2004). The effect of the Euro on country versus industry portfolio diversification. Journal of International Money and Finance, 23, pp. 1137-1158.
14.G’erard, B., Hillion, P., De Roon, F.A. and Eiling, E. (2002). The Structure of Global Equity Returns: Currency, Industry and Country Effects Revisited. SSRN Working Paper.
15.Griffin, J.M. and Karolyi, G.A. (1998). Another look at the role of the industrial structure of markets for international diversification strategies. Journal of Financial Economics, 50, pp. 351-373.
16.Hardouvelis, G.A., Malliaropulos, D. and Priestley, R. (1999). EMU and European Stock Market Integration. CEPR Discussion Paper, No. 2124.
17.Heston, S.L. and Rouwenhorst, K.G. (1994). Does industrial structure explain the benefits of international diversification? Journal of Financial Economics, 36, pp. 3-27.
18.Heston, S.L. and Rouwenhorst, K.G. (1995). Industry and country effects in international stock returns. Journal of Portfolio Management Spring, pp. 53-58.
19.Huberman, S.L. and Kandel, S. (1987). Mean-variance spanning. Journal of Finance, 42, pp. 873-888.
20.Isakov, D. and Sonney, F. (2002). Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns. HEC-Geneve Working Paper.
21.Markowitz, H.M. (1952). Portfolio selection. Journal of Finance, 7, pp. 77-91.
22.Moerman, G.A. (2004). Diversification in Euro Area Stock Markets: Country vs. Industry. ECB Working Paper, No. 327.
23.Moerman, G.A. (2005). Empirical Studies on Asset Pricing and Banking in the Euro Area. Ph.D. thesis.
24.Roll, R. (1992). Industrial structure and the comparative behavior of international stock market indices. Journal of Finance, 47, pp. 3-41.
25.Rouwenhorst, K.G. (1999). European equity markets and the EMU. Financial Analyst Journal, 55, pp. 57-64.
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