Essays about: "international portfolio diversification"

Showing result 11 - 15 of 20 essays containing the words international portfolio diversification.

  1. 11. Are international stock markets correlated? : Comparing NIKKEI, Dow Jones and Dax in the periods 1991-2000 and 2001-2010

    University essay from IHH, Nationalekonomi

    Author : Yang Fan; [2011]
    Keywords : International stock markets; cointegration;

    Abstract : With the process of financial globalization, many thousands of stock traders and stock brokers endeavor to seek the best portfolio diversification. Ever since the emergence of stock exchanges, whether international stock/equity markets are correlated or not generates more and more attention by investors. READ MORE

  3. 12. Equity Transmission Effects and Autocorrelations across the U.S., the Eurozone and Japan

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Eric Mercado Olofsson; Vincent Vennberg; [2010]
    Keywords : transmission effects; causality; autocorrelation; mean reversion; international portfolio diversification;

    Abstract : This paper presents statistically significant and causal trends of increasing transmission effects across equity markets of the world’s three largest economies during the period of 1988 till 2010. When studying daily returns of the S&P 500, EURO STOXX and Nikkei 225 in a round-the-clock setting, increasing transmission effects were detected by our Autoregressive (AR) models and Granger causality tests. READ MORE

  4. 13. Extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world

    University essay from Institutionen för humaniora och samhällsvetenskap

    Author : Muashab Kabir; Naeem Ahmed; [2010]
    Keywords : Volatility; Extreme value; Emerging markets; International diversification;

    Abstract : This paper uses a new measure of volatility based on extreme day return occurrences and examines the relative prevailing volatility among worldwide stock markets during 1997-2009. Using several global stock market indexes of countries categorized as an emerging and developed capital markets are utilized. READ MORE

  5. 14. Diversifying in the Integrated Markets of ASEAN+3 : A Quantitative Study of Stock Market Correlation

    University essay from Handelshögskolan vid Umeå universitet

    Author : Caroline Stark; Emelie Nordell; [2010]
    Keywords : integration; correlation; ASEAN 3; stock market index; Modern Portfolio Theory; diversification;

    Abstract : There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. READ MORE

  6. 15. Exchange rate hedging of equity portfolios: evaluation of an OLS approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Blixt; [2008]
    Keywords : Currency hedging; equity portfolios; Sweden;

    Abstract : With an increasing level of international diversification in equity portfolios comes an increase in the importance of the implicit foreign exchange rate exposure. While purchasing power parity might hold in the longer run it is evident that exchange rate movements can have sizable effects on portfolio returns at conventional time horizons. READ MORE