López-Herrera, Francisco
[Verfasser:in]
;
Santillán-Salgado, Roberto J.
[Sonstige Person, Familie und Körperschaft];
Ortiz, Edgar
[Sonstige Person, Familie und Körperschaft]
Erschienen in:PANOECONOMICUS, 2014, 6, pp. 691-707
Umfang:
1 Online-Ressource (17 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2692050
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 17, 2015 erstellt
Beschreibung:
We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in international markets. Our results suggest that the behavior of NAFTA market investors is not consistent with that of a theoretical “risk-averse” agent during periods of high uncertainty and may be either considered as irrational or attributed to a possible “home country bias”. This finding represents valuable information for portfolio managers and contributes to a better understanding of the nature of the markets in which they invest. It also has practical implications in the design of international portfolio investment policies