DC Field | Value | Language |
---|---|---|
dc.contributor.author | 민병규 | ko |
dc.contributor.author | 김동석 | ko |
dc.date.accessioned | 2010-03-30T05:03:37Z | - |
dc.date.available | 2010-03-30T05:03:37Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2010-02 | - |
dc.identifier.citation | 선물연구, v.18, no.1, pp.101 - 127 | - |
dc.identifier.issn | 1229-988X | - |
dc.identifier.uri | http://hdl.handle.net/10203/17430 | - |
dc.description.abstract | We employ mean‐variance spanning and intersection tests in the stochastic discount factor approach to examine the potential diversification benefits of international investments from the perspective of Korean investors. Our results show that the addition of international regional indices to the set of domestic equities provides significant diversification benefits. However, the source and economic magnitude of diversification benefits differ across international markets. Furthermore, we find that when investors manage their portfolio based on instrument variables, they can not only expand their investment opportunities by investing in international assets, but also increase the efficiency gain of diversification benefits. | - |
dc.language | Korean | - |
dc.language.iso | en_US | en |
dc.publisher | 한국파생상품학회 | - |
dc.title | An Examination of International Portfolio Diversification Benefits for Korean Investors | - |
dc.title.alternative | 한국 투자자의 국제 투자에 대한 분산효과 | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.citation.volume | 18 | - |
dc.citation.issue | 1 | - |
dc.citation.beginningpage | 101 | - |
dc.citation.endingpage | 127 | - |
dc.citation.publicationname | 선물연구 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.identifier.kciid | ART001423787 | - |
dc.contributor.localauthor | 김동석 | - |
dc.contributor.nonIdAuthor | 민병규 | - |
dc.subject.keywordAuthor | Diversification Benefits | - |
dc.subject.keywordAuthor | Spanning and Intersection Tests | - |
dc.subject.keywordAuthor | Stochastic Discount Factor Approach | - |
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