Do investors still benefit from culturally home-biased diversification? An empirical study of China, Hong Kong, and Taiwan

被引：15

作者：

Chiou P. ^{[1
]}

Lee C.-F. ^{[2
]}

机构：

[1] Finance and Law Department, Central Michigan University, Mount Pleasant, MI

[2] Department of Finance and Economics, Rutgers University, New Brunswick, Piscataway, NJ

来源：

Review of Quantitative Finance and Accounting | 2013年 / 40卷 / 2期

关键词：

Home bias; International diversification; Investment constraints; Pan-Chinese markets;

D O I：

10.1007/s11156-011-0257-9

中图分类号：

学科分类号：

摘要：

Due to the continual economic integration and the accumulation of wealth in China, Hong Kong, and Taiwan, understanding portfolio strategies and the benefits of diversification for these countries is an indispensible element in managing global assets. Using weekly industry-level data, we analyze culturally home-biased diversification strategies and find that local investors still benefit from regional investments. The time-varying benefits of diversification exist even as the economies of this region have become increasingly integrated. Our analysis suggests that stricter weighting bounds reduce the economic values of diversification but enhance the feasibility of the optimal portfolio allocations. The larger benefits gained by Chinese investors suggest that international diversification is more advantageous to investors in emerging economies than to those in richer, developed markets. The robustness tests generate similar findings when we evaluate the out-of-sample effectiveness and the benefits of diversification under various parameter estimation windows. © 2011 Springer Science+Business Media, LLC.

引用

页码：341 / 381

页数：40

共 61 条

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