Time-varying Integration and International diversification strategies

By Lieven Baele, Koen Inghelbrecht. 2009

119 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/68c728483c162f36d5dddbe4d90aa21cc878eba9

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In Economics and Econometrics

1. Kuntara Pukthuanthong
2. Francesco Guidi
3. Rakesh Gupta
4. Heikki Lehkonen

In Finance

1. Kuntara Pukthuanthong
2. Francesco Guidi
3. Rakesh Gupta
4. Heikki Lehkonen

Citations in the corpus

• International diversification with frontier markets (2011, background): “For example, Bekaert, Hodrick, and Zhang (2009) find that country factors dominate industry factors in international diversification, and Baele and Inghelbrecht (2009) show that geographical diversification continues to offer results superior to those obtained through industry diversification.”
• Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets (2010, methodology): “6 Following Baele and Inghelbrecht (2009) we calculate the Trade Integration Index as the ratio of imports plus exports over GDP, then we transform those values as indices starting at 100 at the beginning of the sample.”
• Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012, unknown): “Baele and Inghelbrecht (2009) report increasing correlations over the period 1973–2007 for their sample of 21 DMs. See also Karolyi and Stulz (1996), Forbes and Rigobon (2002), Brooks and Del Negro (2003), Lewis (2006), and Rangel (2011).”