Can the gains from international diversification be achieved without trading abroad?

• 成果类型: Article
• 署名作者: Errunza, V; Hogan, K; Hung, MW
• 署名单位: McGill University; Barclays; National Taiwan University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00182
• 发表日期: 1999
• 页码: 2075-2107
• 关键词: NON-NESTED HYPOTHESES; capital-market; HOME BIAS; returns; tests; RISK; comovements; OWNERSHIP; JAPAN

摘要

We examine whether portfolios of domestically traded securities can mimic foreign indices so that investment in assets that trade only abroad is not necessary to exhaust the gains from international diversification. We use monthly data from 1976 to 1993 for seven developed and nine emerging markets. Return correlations, mean-variance spanning, and Sharpe ratio test results provide strong evidence that gains beyond those attainable through home-made diversification have become statistically and economically insignificant. Finally, we show that the incremental gains from international diversification beyond home-made diversification portfolios have diminished over time in a way consistent with changes in investment barriers.