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http://hdl.handle.net/10397/64597
Title: | International diversification through iShares and their rivals | Authors: | Cao, J Fu, R Jin, Y |
Issue Date: | Feb-2017 | Source: | The journal of risk, Feb. 2017, v. 19, no. 3, p. 25-55 | Abstract: | This paper examines the diversification benefits of iShares in comparison with closed-end country funds and American depositary receipts between April 1996 and December 2013. iShares are country-specific exchange-traded funds that track specific Morgan Stanley Capital International country indexes, and thus are expected to provide diversification gains that are superior to their rivals. Our main findings are as follows. First, although all of these financial instruments are significantly exposed to the US market, they retain significant exposure to their home markets and provide important diversification benefits. Second, mean-variance spanning and Sharpe ratio test results provide strong evidence that iShares can neither outperform nor replace closed-end country funds and American depositary receipts for international diversification. Finally, a combination of these domestically traded securities could exhaust the gains from unattainable direct foreign investment. | Keywords: | International diversification Mean-variance spanning tests Exchange-traded funds Closed-end country funds American depositary receipts |
Publisher: | Incisive Media Ltd. | Journal: | The journal of risk | ISSN: | 1465-1211 | EISSN: | 1755-2842 | DOI: | 10.21314/JOR.2016.350 | Rights: | Copyright© 2017 Incisive Risk Information (IP) Limited The following publication Cao, J., Fu, R., & Jin, Y. (2017). International diversification through iShares and their rivals. Journal of Risk, 19(3), 25-55 is available at https://doi.org/10.21314/JOR.2016.350. |
Appears in Collections: | Journal/Magazine Article |
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Jin_International_Diversification_Through.pdf | Pre-Published version | 711.95 kB | Adobe PDF | View/Open |
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