La diversification internationale est-elle toujours d’actualité

Zayati Montassar (), Makram Bellalah () and Ameni Châabene Sallemi
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Makram Bellalah: LEFMI - Laboratoire d’Économie, Finance, Management et Innovation - UR UPJV 4286 - UPJV - Université de Picardie Jules Verne

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Abstract: This article presents a measure of the gains from international portfolio diversification using a dynamic approach. To do this, we derive a conditional measure VAR-GARCH-DCC of the expected earnings for investors belonging to several countries. Our sample includes the oil index and seven stock markets. We empirically show that the performance of international portfolios is superior to the local performance for all investors. This performance varies depending on the dynamic correlation and the proportions allocated by investors to each market. Our results also show the continued superiority of international diversification over domestic diversification on the one hand, and that emerging markets continue to perform better on the other.

Date: 2021
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Published in La Revue des Sciences de Gestion, 2021, 311, 129-137 ; https://www.cairn.info/revue-des-sciences-de-gestion-2021-5-page-129.htm?contenu=article

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03819776

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