Is international diversification really beneficial

By Leyuan You, Robert T. Daigler. 2010

130 citations recorded by the source corpus.

How researchers see this paper

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International diversification with frontier markets (2011, background): “However, focusing on downside risk and allowing for conditional correlations, You and Daigler (2010) find little evidence of international diversification benefits.”
Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance (2017, unknown): “…cor-1 For instance, the DCC model has been used in value-at-risk estimation ( Pérignon and Smith, 2010 ), the analysis of asset class comovements ( You and Daigler, 2010; Heaney and Sriananthakumar, 2012 ), the implementation of hedging strategies ( Chang et al., 2011 ), and the examination of…”
World market risk, country-specific risk and expected returns in international stock markets (2010, unknown): “3 For the significance of time-varying cross-correlations in international markets, see Bartram et al. (2007), Cai et al. (2009), Markwat et al. (2009), and You and Daigler (2010).”
Energy, precious metals, and GCC stock markets: Is there any risk spillover? (2019, background): “This problematic structure is sustained for a considerable length of time, thus lowering the benefits of diversification even if a welldiversified equity portfolio is designed (Errunza et al., 1999; Ang and Bekaert, 2002; Capiello et al., 2006; Driessen and Laeven, 2007; You and Daigler, 2010).”