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  1. A400 経済学部/経済学研究科
  2. A400b 紀要
  3. 経済科学
  4. 69(4)

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.69.4.15
b635b247-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 ecos_69_4_15.pdf (1.7 MB)
Item type itemtype_ver1(1)
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

ja 中島, 英喜

en NAKASHIMA, Hideki

Search repository
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
キーワード
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 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
内容記述タイプ Abstract
出版者
言語 ja
出版者 名古屋大学大学院経済学研究科
出版者
言語 en
出版者 Graduate School of Economics Nagoya University
言語
言語 jpn
資源タイプ
資源タイプresource http://purl.org/coar/resource_type/c_6501
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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