Author: I. C. AndradePublisher:
ISBN:
Category : Economics
Languages : en
Pages : 21
Book Description
Cointegration and the Gains from International Portfolio Diversification in Bonds and Equities
Author: I. C. AndradePublisher:
ISBN:
Category : Economics
Languages : en
Pages : 21
Book Description
Cointegration and the Gains from International Portfolio Diversification in Bonds and Equities
Author: Isabel C. AndradeThe Gains from International Portfolio Diversification in Bonds and Equities
Author: Isabel C. AndradeInternational Diversification with Focus on Cointegration
Author: Inga KudzmaitePublisher: LAP Lambert Academic Publishing
ISBN: 9783659229893
Category :
Languages : en
Pages : 116
Book Description
Recent globalization and integration of capital markets made international diversification more difficult for many investors and caused correlations between the securities to increase, especially during the times of adverse economic conditions. This paper argues that markets, which have cointegrating relationship and follow common trend in a long time horizon, cannot contribute much to portfolio diversification. Therefore, investors, who are willing to invest for long-term, should rather choose cointegration analysis instead of usual correlation approach for portfolio diversification purposes because the former is more appropriate for long-term. Thus, this paper took a perspective of Lithuanian investor and conducted cointegration analysis with 8 other country equity indices over a period 2000-2011 in order to find out which markets Vilnius OMX is cointegrated with. This paper should be useful to investors who seek to diversify internationally and look for a long-term perspective, and who are willing to go beyond the conventional portfolio diversification methods.
Stocks and Bonds
Author: Niall O'SullivanPublisher:
ISBN:
Category :
Languages : en
Pages : 17
Book Description
The Johansen cointegration testing and estimation procedure is applied to examine the relationships among the stock markets, government bond markets and credit bond markets of the US, UK, Europe and Japan over the period 1985M1:2002M4. Asset class relationships are examined with returns denominated in dollars, sterling, euro and yen to determine whether long run diversification gains were achievable by international investors with these as base currencies. Cointegrating relations among currency hedged returns are also investigated. Cointegration findings, and by inference long run diversification opportunities, are found to be highly sensitive to the choice of currency in which returns are denominated and to whether currency risk is hedged, revealing the important role of exchange rates in international portfolio diversification.
The Long-run Gains from International Equity Diversification
Author: David E. AllenPublisher:
ISBN: 9781863422376
Category : International finance
Languages : en
Pages : 19
Book Description
International Diversification Using Cointegration and Modern Portfolio Theory
Author: Jose BalarezoPublisher:
ISBN:
Category :
Languages : en
Pages : 116
Book Description
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.
A Cointegration Study of the Gains from International Portfolio Diversification Into Emerging Stock Markets
Author: Tim BradshawGains from International Diversification
Author: Robert R. GrauerPublisher:
ISBN:
Category : Investments
Languages : en
Pages : 24
Book Description
Assessing the Benefits of International Portfolio Diversification in Bonds and Stocks
Author: Roberto A. De SantisPublisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 43
Book Description