Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 付娆博士 (决策科学与企业经济学系) |
| 曹杰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.21314/JOR.2016.350 出版商提供的全文 http://www.risk.net/journal-of-risk/technical-paper/2479675/international-diversification-through-ishares-and-their-rivals |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要This paper examines the diversification benefits of iShares in comparison with closed-end country funds and American depositary receipts between April 1996 and December 2http://aims.cuhk.edu.hk/converis/portal/Publication/013. 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.
出版社接受日期http://aims.cuhk.edu.hk/converis/portal/Publication/01.http://aims.cuhk.edu.hk/converis/portal/Publication/02.2http://aims.cuhk.edu.hk/converis/portal/Publication/017
着者Jie Cao, Rao Fu, Yong Jin
期刊名称Journal of Risk
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/017
月份2
卷号19
期次3
出版社Incisive Risk Information Limited, Haymarket
出版地London
页次25 - 55
国际标準期刊号1465-1211
电子国际标準期刊号1755-2842
语言英式英语
关键词Diversification, American Depositary Receipts (ADRs), Funds
