A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens
| Autor: | Lawrence A. Leger, Alexander Eptas |
|---|---|
| Rok vydání: | 2010 |
| Předmět: |
diversification
Capital market line Financial economics lcsh:Risk in industry. Risk management Diversification (finance) jel:E Mean-Variance Safe Havens jel:C jel:G Financial Crisis lcsh:Finance lcsh:HG1-9999 ddc:330 safe havens G11 Emerging markets Stock (geology) Mean-variance financial crisis G15 Financial market International economics Stock market index lcsh:HD61 Diversification jel:F2 Financial crisis jel:F3 Portfolio G00 Business |
| Zdroj: | Journal of Risk and Financial Management, Vol 3, Iss 1, Pp 97-117 (2010) Journal of Risk and Financial Management Volume 3 Issue 1 Pages 97-117 |
| ISSN: | 1911-8074 |
| DOI: | 10.3390/jrfm3010097 |
| Popis: | We use mean-variance analysis with short selling constraints to diagnose the effects of the recent global financial crisis by evaluating the potential benefits of international diversification in the search for 'safe havens'. We use stock index data for a sample of developed, advanced-emerging and emerging countries. 'Text-book' results are obtained for the pre-crisis analysis with the optimal portfolio for any risk-averse investor being obtained as the tangency portfolio of the All-Country portfolio frontier. During the crisis there is a disjunction between bank lending and stock markets revealed by negative average returns and an absence of any empirical Capital Market Line. Israel and Colombia emerge as the safest havens for any investor during the crisis. For Israel this may reflect the protection afforded by special trade links and diaspora support, while for Colombia we speculate that this reveals the impact on world financial markets of the demand for cocaine. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|