{"title":"制度转换、不对称相关与国际投资组合选择","authors":"Fathi Abid, Slah Bahloul","doi":"10.2139/ssrn.1566889","DOIUrl":null,"url":null,"abstract":"The aim of this paper is to investigate the behaviour of international equity returns and correlations using the discrete-time Markov-switching model and the impact of this behaviour on international portfolio choices. We take the perspective of a US-based global investor who considers investment across the six largest major markets over the period from December 1994 to July 2009. Results show that financial markets are characterised by two regimes: a bull and a bear market. Besides, correlations appear to be very important in a bear state and significantly different from those in the bull market. Finally, optimal portfolio weights vary considerably across regimes and over time as investors revise their estimates of the state probabilities.","PeriodicalId":417524,"journal":{"name":"FEN: Other International Corporate Finance (Topic)","volume":"151 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"Regime Switching, Asymmetric Correlation and International Portfolio Choices\",\"authors\":\"Fathi Abid, Slah Bahloul\",\"doi\":\"10.2139/ssrn.1566889\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The aim of this paper is to investigate the behaviour of international equity returns and correlations using the discrete-time Markov-switching model and the impact of this behaviour on international portfolio choices. We take the perspective of a US-based global investor who considers investment across the six largest major markets over the period from December 1994 to July 2009. Results show that financial markets are characterised by two regimes: a bull and a bear market. Besides, correlations appear to be very important in a bear state and significantly different from those in the bull market. Finally, optimal portfolio weights vary considerably across regimes and over time as investors revise their estimates of the state probabilities.\",\"PeriodicalId\":417524,\"journal\":{\"name\":\"FEN: Other International Corporate Finance (Topic)\",\"volume\":\"151 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"FEN: Other International Corporate Finance (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1566889\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"FEN: Other International Corporate Finance (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1566889","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Regime Switching, Asymmetric Correlation and International Portfolio Choices
The aim of this paper is to investigate the behaviour of international equity returns and correlations using the discrete-time Markov-switching model and the impact of this behaviour on international portfolio choices. We take the perspective of a US-based global investor who considers investment across the six largest major markets over the period from December 1994 to July 2009. Results show that financial markets are characterised by two regimes: a bull and a bear market. Besides, correlations appear to be very important in a bear state and significantly different from those in the bull market. Finally, optimal portfolio weights vary considerably across regimes and over time as investors revise their estimates of the state probabilities.
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