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Portfolio diversification: a factor analysis approach
16 references·3 citing·38 second hop
Portfolio diversification: a factor analysis approach (2005)Portfolio diversification: a factor analy…Linkages between the US and European equity markets: further evidence from cointegration tests (1998)Linkages between the US and E…International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)International stock market li…DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS? (1993)DOES THE OCTOBER 1987 CRASH S…Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …An Empirical Analysis of Stock Prices in Major Asian Markets and the United States (1992)An Empirical Analysis of Stoc…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Transmission of Stock Market Movements (1989)International Transmission of…Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Exchange Rate Uncertainty, Fo…The Relationship Between Equity Indices on World Exchanges (1979)The Relationship Between Equi…Comovement of International Equity Markets: A Taxonomic Approach (1976)Comovement of International E…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…Systematic Elements in the Linkage of National Stock Market Indices (1973)Systematic Elements in the Li…INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES (1973)INTERNATIONAL PORTFOLIO DIVER…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model (2023)Volatility Spillovers and Con…Common factors in international securitized real estate markets (2008)Common factors in internation…A factor analysis of international portfolio diversification (2008)A factor analysis of internat…Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)International comovement of stock market returns: A wavelet analysis (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)Stock returns and the weekend effect (1980)Generalized autoregressive conditional heteroskedasticity (1986)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Striking oil: Another puzzle? (2008)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A vector error correction model of the Singapore stock market (2000)The effects of terrorism on global capital markets (2004)Stock prices and exchange rate dynamics (2005)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)An Analytic Derivation of the Efficient Portfolio Frontier (1972)International Portfolio Choice and Corporation Finance: A Synthesis (1983)The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)Currency Hedging for International Portfolios (1993)Systematic Risk of the Multinational Corporation (1998)Does industrial structure explain the benefits of international diversification? (1994)Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets (1999)Long and short term dynamic causal transmission amongst international stock markets (2001)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
  • 1988Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection360 cited
  • 1979The Relationship Between Equity Indices on World Exchanges339 cited
  • 1993DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS?328 cited
  • 1973INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES285 cited
  • 1992An Empirical Analysis of Stock Prices in Major Asian Markets and the United States280 cited
  • 1973Systematic Elements in the Linkage of National Stock Market Indices216 cited

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  • 1976Comovement of International Equity Markets: A Taxonomic Approach208 cited
  • 1998Linkages between the US and European equity markets: further evidence from cointegration tests180 cited
  • Cited by

    • 2008A factor analysis of international portfolio diversification41 cited
    • 2008Common factors in international securitized real estate markets38 cited
    • 2023Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model29 cited