Strategic International Diversification and Monthly Seasonality
研究国际分散化对股票市场月度季节性的影响，考虑汇率和交易成本，发现一月效应在全球组合中显著且稳健，对国际投资者有参考价值。
To the author’s knowledge no other studies have dealt with the effect of international diversification on stock market monthly seasonality. The aim of this study is to investigate this effect in various ways: stock market monthly seasonality is analyzed by incorporating exchange rates and trading costs in international portfolio returns. The variance of the world portfolio is decomposed into six components. Stochastic dominance approach is used to show the robustness of the results. Five trading strategies are compared to help international investors be more informed. All the results show that monthly seasonality is clearly present in an economic sense and robust. Particularly, when exchange rates are incorporated into portfolio returns. January has the highest return and the lowest risk in the world portfolio.