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Journal article Open Access Scopus Source The journal / series is indexed in Scopus (SCImago list). The article itself has not been verified. 17 Citations Quartil Q2

Are ETFs Good Vehicles for Diversification? New Evidence for Critical Investment Periods

Maria Elisabete Duarte Neves , Carla Manuela Fernandes , Pedro Coimbra Martins
ISLA — Instituto Politécnico de Gestão e Tecnologia
Borsa Istanbul Review, 01 2019
DOI: 10.1016/j.bir.2019.01.002

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Abstract
This paper discusses the real effects of diversification, risk, and performance for country-specific exchange-traded funds (ETF) investment vehicles, using a sample of twenty-two iShares for the period 2004–2015, which covers the global financial crisis. Typically, the delimitation of the periods of crises is based on noteworthy events, such as the collapse of Lehman Brothers. In this context, we consider an alternative approach to define the time frames to obtain a more detailed characterization of crisis periods, using a nonhierarchical clustering technique. This method comprises the clustering of the dates with similar ETF prices across countries, which allows the formation of relatively sequential time frames as a function of price volatility. We conclude that the benefits of diversification through this investment vehicle are limited, particularly in times of crisis, indicating the existence of contagion between funds that are indexes.

Keywords

#exchange-traded funds #diversification #iShares #2008 financial crisis #crisis periods #non-hierarchical clustering #price volatility #contagion #Risk #fund performance #Diversification (marketing strategy) #Volatility (finance) #Financial crisis #Volatility clustering #Cluster analysis #Economics #Investment (military) #Investment strategy

Bibliographic Details

Publication Type Journal article
Publication Year 2019
Journal / Conference / Work Borsa Istanbul Review
Quartile (SCImago) Q2
Scopus Indexing Indexed source (via SCImago)

ISLA Authors & Affiliations

M
Maria Elisabete Duarte Neves
mneves@iscac.pt ID: 2515-71D5-0411
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P
Pedro João Coimbra Martins
pmartins@iscac.pt ID: 1113-BC3A-435F
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