Cointegration And The Gains From International Portfolio Diversification In Bonds And Equities
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The Long-run Gains from International Equity Diversification
Author | : David E. Allen |
Publisher | : |
Total Pages | : 19 |
Release | : 1993 |
Genre | : International finance |
ISBN | : 9781863422376 |
International Diversification Using Cointegration and Modern Portfolio Theory
Author | : Jose Balarezo |
Publisher | : |
Total Pages | : 116 |
Release | : 2010 |
Genre | : |
ISBN | : |
It is widely accepted that diversifying internationally is a sound strategy because correlations among securities in different countries are lower as compared to local securities. We argue however, that in some instances, diversifying internationally might not be as effective; therefore, investors need to be careful in choosing where to diversify internationally. For investors with longer time horizons, if countries share common long term movements, the benefits of international diversification will be diminished. We argue that international diversification will benefit investors only in the cases that the home country does not cointegrate with the foreign market. To verify this argument, this paper uses cointegration techniques to investigate long term movements between The U.S. and 15 foreign markets, and then uses country ETFs (Exchange Traded Funds) to build portfolios constructed by combining the findings of the cointegration techniques with Modern Portfolio Theory (MPT) and compares the results against portfolios built solely on MPT. The results clearly support our hypothesis as in more than 90% of the cases tested, the portfolios constructed by combining the findings of our cointegration analysis with the optimization techniques of MPT outperform - in a risk adjusted basis - portfolios constructed only by using the optimization techniques used by MPT.
Assessing the Benefits of International Portfolio Diversification in Bonds and Stocks
Author | : Roberto A. De Santis |
Publisher | : |
Total Pages | : 43 |
Release | : 2008 |
Genre | : Foreign exchange rates |
ISBN | : |
Managerial Finance in the Corporate Economy
Author | : Dilip K. Ghosh |
Publisher | : Routledge |
Total Pages | : 412 |
Release | : 2005-08-12 |
Genre | : Business & Economics |
ISBN | : 1134834233 |
In most countries the economic structure and financial landscape are dominated by corporations. A critical examination of the various facets of the corporate economy is thus vitally important. In Managerial Finance in the Corporate Economy the authors use new theoretical apparatus and empirical evaluations to present such a study. The book includes new findings on mutual and pension funds, portfolio diversification, market volatility, financial institutions and corporate behaviour in the context of the international economy.
Emerging Markets and the Global Economy
Author | : Mohammed El Hedi Arouri |
Publisher | : Academic Press |
Total Pages | : 927 |
Release | : 2013-12-26 |
Genre | : Business & Economics |
ISBN | : 0124115632 |
Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan - Concentrates on post-crisis roles of emerging markets in the global economy - Reports on key theoretical and technical developments in emerging financial markets - Forecasts future developments in linkages among developed and emerging economies
Nonlinear Modeling of Economic and Financial Time-Series
Author | : Fredj Jawadi |
Publisher | : Emerald Group Publishing |
Total Pages | : 224 |
Release | : 2010-12-17 |
Genre | : Business & Economics |
ISBN | : 0857244906 |
Presents researches in linear and nonlinear modelling of economic and financial time-series. This book provides a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It also presents and discusses research findings and their implications.