Measuring country event risk compensation on BRICs international portfolio management

Shu-Hsien Chen, Ming-Shu Hua and Richard Stuetz

Applied Economics, 2008, vol. 40, issue 5, 657-665

Abstract: The BRICs nations (Brazil, Russia, India and China) have a strong relative economic growth pattern in the world among economic powers. The allure of globalization has made the analysis and assessment of national critical component of international portfolio management in recent years. We construct the model from comparing the relative SD of stock return whereby higher SDs are generally associated with more risk. This relative SD forms a principle component in the change of the weights on the international portfolio choice. The result shows that event jump risk not only makes the investor's allocation more conservative overall, but also it can be compensated on BRICs event risk.

Date: 2008
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DOI: 10.1080/00036840600749474

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