@article{oai:nagoya.repo.nii.ac.jp:02002281,
 author = {中島, 英喜 and NAKASHIMA, Hideki},
 issue = {4},
 journal = {経済科学, The Economic Science},
 month = {Mar},
 note = {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.},
 pages = {15--31},
 title = {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},
 volume = {69},
 year = {2022}
}