A Cointegration Study of the Gains from International Portfolio Diversification Into Emerging Stock Markets
Author: Tim Bradshaw
Publisher:
Published: 2000
Total Pages:
ISBN-13:
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Author: Tim Bradshaw
Publisher:
Published: 2000
Total Pages:
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DOWNLOAD EBOOKAuthor: I. C. Andrade
Publisher:
Published: 1991
Total Pages: 21
ISBN-13:
DOWNLOAD EBOOKAuthor: Isabel C. Andrade
Publisher:
Published: 1991
Total Pages: 14
ISBN-13:
DOWNLOAD EBOOKAuthor: Said Elfakhani
Publisher:
Published: 2008
Total Pages:
ISBN-13:
DOWNLOAD EBOOKUsing a sample of Arab, U.S., and emerging stock markets from 1997-2002, this study is designed to determine if international diversification is still possible despite growing globalization and the consequent integration among various stock markets. Our results show that within Arab markets, Kuwait co-integrates individually with Jordan, Tunisia, and Saudi Arabia and between Tunisia and Jordan, thus offering investors possible continued diversification opportunities. On the other hand, only Jordan, Kuwait, and Morocco are co-integrated with the U.S. general market index, implying that these markets offer a probable substitute for those investing in the U.S. markets.
Author: Inga Kudzmaite
Publisher: LAP Lambert Academic Publishing
Published: 2012
Total Pages: 116
ISBN-13: 9783659229893
DOWNLOAD EBOOKRecent 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.
Author: Michael G. Papaioannou
Publisher: Irwin Professional Publishing
Published: 1997
Total Pages: 392
ISBN-13:
DOWNLOAD EBOOKEmerging Market Portfolios presents a framework for effective risk management in emerging capital markets. The many difficulties and opportunities encountered are presented in detail, including historical patterns of development in emerging equity markets; profit and safety through recommended portfolio allocation methods; issues of volatility and cointegration in investment decisions; availability of derivative instruments, and recent developments in derivative pricing; and unexpected barriers to using financial risk management tools. Emerging Market Portfolios explores the potential of adapting and applying the analytical tools of modern portfolio theory to emerging markets investment. Hedging strategies and vehicles are presented and analyzed, areas of higher risk-adjusted return potential are identified and state-of-the-art research on asset and derivative pricing is presented. Emerging Market Portfolios is a thorough, expert analysis of emerging market investment and risk control, with emphasis on applicable diversification and hedging strategies.
Author: Srinivasan Palamalai
Publisher:
Published: 2013
Total Pages: 16
ISBN-13:
DOWNLOAD EBOOKThis study examines the stock market integration among major stock markets of emerging Asia-Pacific economies, viz. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China, and Indonesia. The Johansen and Juselius multivariate cointegration test, Granger causality/Block exogeneity Wald test based on the vector error correction model (VECM) approach, and variance decomposition analysis were used to investigate the dynamic linkages between markets. Cointegration test confirmed a well-defined long-run equilibrium relationship among the major stock markets, implying that there exists a common force, such as arbitrage activity, which brings these stock markets together in the long run. The results of Granger causality/Block exogeneity Wald test based on VECM and variance decomposition analysis revealed the stock market interdependencies and dynamic interactions among the selected emerging Asia-Pacific economies. This result implies that investors can gain feasible benefits from international portfolio diversification in the short run. On the whole, the study results suggest that although long-term diversification benefits from exposure to these markets might be limited, short-run benefits might exist due to substantial transitory fluctuations.
Author: Rajib Bhattacharyya
Publisher: Emerald Group Publishing
Published: 2019-11-26
Total Pages: 296
ISBN-13: 1789739993
DOWNLOAD EBOOKGeared towards policy makers, researchers, academics, and business and management professionals, The Gains and Pains of Financial Integration and Trade Liberalization helps readers develop new theories and models for analysing the future trends in finance and trade-related issues.
Author: Mohammed El Hedi Arouri
Publisher: Academic Press
Published: 2013-12-26
Total Pages: 927
ISBN-13: 0124115632
DOWNLOAD EBOOKEmerging 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
Author: Maurice Obstfeld
Publisher: Cambridge University Press
Published: 2004
Total Pages: 386
ISBN-13: 9780521671798
DOWNLOAD EBOOKThis book is an economic survey of international capital mobility from the late nineteenth century to the present.