حرکات مشترک بازده شاخص بخشی در بازارهای سهام بزرگ جهان در بازار گاوی و خرسی: مفاهیم تنوع بخشی پرتفوی

In this paper, principal components analysis and Granger causality tests are used to study the portfolio diversification implications of the co-movements of sector indexes in the US, UK, German, French, and Japanese stock markets in bull and bear markets. We find that, in a bull market, investors can obtain more benefit with global diversification than with domestic diversification even if they invest in the same sector in different countries as opposed to investing in different sectors within the same country. In a bear market, the sectors of different countries tend to be more closely correlated and country diversification opportunities are limited.