Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/64597
DC Field | Value | Language |
---|---|---|
dc.contributor | School of Accounting and Finance | en_US |
dc.creator | Cao, J | en_US |
dc.creator | Fu, R | en_US |
dc.creator | Jin, Y | en_US |
dc.date.accessioned | 2017-03-21T06:30:45Z | - |
dc.date.available | 2017-03-21T06:30:45Z | - |
dc.identifier.issn | 1465-1211 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/64597 | - |
dc.language.iso | en | en_US |
dc.publisher | Incisive Media Ltd. | en_US |
dc.rights | Copyright© 2017 Incisive Risk Information (IP) Limited | en_US |
dc.rights | 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. | en_US |
dc.subject | International diversification | en_US |
dc.subject | Mean-variance spanning tests | en_US |
dc.subject | Exchange-traded funds | en_US |
dc.subject | Closed-end country funds | en_US |
dc.subject | American depositary receipts | en_US |
dc.title | International diversification through iShares and their rivals | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 25 | en_US |
dc.identifier.epage | 55 | en_US |
dc.identifier.volume | 19 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.doi | 10.21314/JOR.2016.350 | en_US |
dcterms.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. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | The journal of risk, Feb. 2017, v. 19, no. 3, p. 25-55 | en_US |
dcterms.isPartOf | The journal of risk | en_US |
dcterms.issued | 2017-02 | - |
dc.identifier.isi | WOS:000393782700003 | - |
dc.identifier.scopus | 2-s2.0-85010632167 | - |
dc.identifier.eissn | 1755-2842 | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AF-0164 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 6717767 | - |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Jin_International_Diversification_Through.pdf | Pre-Published version | 711.95 kB | Adobe PDF | View/Open |
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