Earticle

초록

영어

Our model explores the impact of international diversification on domestic investors’ welfares, in particular, with closed-form solutions to asset holdings and utility changes in a simple equilibrium framework wherein agents have mean-variance utility. The model is able to yield the welfare losses of domestic investors by market integration when they have inefficient portfolios before integration. According to our results, only the efficient portfolio holdings of domestic investors before integration guarantee the welfare enhancement of all domestic investors. This is in contrast to the extant literature that stresses only the beneficial effect of international diversification. In addition, the model enables us to sort out the welfare changes of domestic investors into the correlation effect and the quantity-volatility effect.

목차

Abstract
 I. Introduction
 I. Introduction
 II. Literature Reviews
 III. The Model
  1. Domestic Economy
  2. Integrated Economy
 IV. Equilibrium and Domestic Investors’ Utilities
  1. Asset Holdings and Equilibrium Prices
  2. Welfare Changes of Domestic Investors
 IV. Interpretations
  1. Examples
  2. Implications for Inefficient Portfolio Holders
 V. Conclusion
 References

키워드

저자

• In Joon Kim [ Hyundai Motors Distinguished Professor of Finance, School of Business, Yonsei University, Seoul, Korea ]
• So Jung Kim [ School of Business, Yonsei University, Seoul, Korea, ]
• Sun-Joong Yoon [ Assistant Professor of Finance, Dongguk Business School, Dongguk University-Seoul, Seoul, Korea ] Corresponding author

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간행물

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• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330