Impending Doom: The Loss of Diversification before a Crisis

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dc.contributor.authorRea WS
dc.contributor.authorYang L
dc.contributor.authorRea A
dc.date.accessioned2018-04-19T03:28:18Z
dc.date.available2018-04-19T03:28:18Z
dc.date.issued2017en
dc.date.updated2017-11-13T03:44:10Z
dc.description.abstractWe present four methods of assessing the diversification potential within a stock market, and two of these are based on principal component analysis. They were applied to the Australian stock exchange for the years 2000 to 2014 and all show a consistent picture. The potential for diversification declined almost monotonically in the three years prior to the 2008 financial crisis, leaving investors poorly diversified at the onset of the Global Financial Crisis. On one of the four measures, the diversification potential declined even further in the 2011 European debt crisis and the American credit downgrade.en
dc.identifier.citationYang L, Rea WS, Rea A (2017). Impending Doom: The Loss of Diversification before a Crisis. International Journal of Financial Studies. 5(29).en
dc.identifier.issn2227-7072
dc.identifier.urihttp://hdl.handle.net/10092/15165
dc.language.isoen
dc.rightsCreative Commons Attribution License 4.0en
dc.subjectprincipal component analysisen
dc.subjectstock selectionen
dc.subjectdiversificationen
dc.subjectstock portfoliosen
dc.subjectASX200en
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350203 - Financial econometricsen
dc.subject.anzsrcFields of Research::38 - Economics::3801 - Applied economics::380107 - Financial economicsen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk managementen
dc.titleImpending Doom: The Loss of Diversification before a Crisisen
dc.typeJournal Articleen
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