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地域横断的な最小分散ポートフォリオの固有リターンに関する実証分析
https://doi.org/10.18999/ecos.69.4.15
https://doi.org/10.18999/ecos.69.4.15b635b247-b3f1-4738-ab98-3498589b1c43
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
ecos_69_4_15.pdf (1.7 MB)
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| Item type | itemtype_ver1(1) | |||||||||
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| 公開日 | 2022-03-29 | |||||||||
| タイトル | ||||||||||
| タイトル | 地域横断的な最小分散ポートフォリオの固有リターンに関する実証分析 | |||||||||
| 言語 | ja | |||||||||
| その他のタイトル | ||||||||||
| その他のタイトル | An Empirical Study on Specific Returns of Cross-Regional Minimum Volatility Portfolios | |||||||||
| 言語 | en | |||||||||
| 著者 |
中島, 英喜
× 中島, 英喜
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| アクセス権 | ||||||||||
| アクセス権 | open access | |||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Cross-Region | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Minimum volatility portfolio | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Market integration | |||||||||
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| 主題Scheme | Other | |||||||||
| 主題 | Risk Premium | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | MSCI index | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | In this paper we investigate Cross-Regional Minimum Volatility Portfolios (CRMVPs) in global stock markets. Especially we focus our minds on the additional and independent ingredients in specific returns of CRMVPs. These ingredients are derived from the integrations of segmented stock markets. As they are original contributions in CRMVPs, they are never observed in any Minimum Volatility Portfolios (MVPs) for segmented individual markets or any bundles of these MVPs. Though we suppose they have positive premiums, the premiums aren’t the results of the reduction of the stock investment risks in integrated markets. In regard to the reason of the positive premiums, we suppose that investor’s unconcern against some stocks should make stock markets inefficient for the pricing of these stocks. In our empirical analysis we get three results finally. The first is that the contributions derived from the integrations of stock markets have considerable size in specific returns of CRMVPs. The second is that the contributions have significant positive premiums in all cases where every country or region isn’t treated specially in market integrations. The third is the ingredients derived from the different integrations are independent each other. These results mean that the ingredients have positive premium on the whole. | |||||||||
| 言語 | en | |||||||||
| 出版者 | ||||||||||
| 出版者 | 名古屋大学大学院経済学研究科 | |||||||||
| 言語 | ja | |||||||||
| 出版者 | ||||||||||
| 出版者 | Graduate School of Economics Nagoya University | |||||||||
| 言語 | en | |||||||||
| 言語 | ||||||||||
| 言語 | jpn | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||
| 資源タイプ | departmental bulletin paper | |||||||||
| 出版タイプ | ||||||||||
| 出版タイプ | VoR | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
| ID登録 | ||||||||||
| ID登録 | 10.18999/ecos.69.4.15 | |||||||||
| ID登録タイプ | JaLC | |||||||||
| 収録物識別子 | ||||||||||
| 収録物識別子タイプ | PISSN | |||||||||
| 収録物識別子 | 0022-9725 | |||||||||
| 収録物識別子 | ||||||||||
| 収録物識別子タイプ | EISSN | |||||||||
| 収録物識別子 | 2434-5741 | |||||||||
| 書誌情報 |
ja : 経済科学 en : The Economic Science 巻 69, 号 4, p. 15-31, 発行日 2022-03 |
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