International Portfolio Diversification Benefits: The Relevance of Emerging Markets

Bouslama, Ons; Ouda, Olfa Ben

doi:10.5539/ijef.v6n3p200

Cited by 10 publications

(5 citation statements)

References 60 publications

(51 reference statements)

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“…Other literatures found that equity diversification are still substantial despite the growing market correlations (Bouslama and Ouda, 2014). Therefore, the study will extend to investigate the co-integrating behavior of the Egyptian stock market with other markets and study the causalities using Granger causality tests.…”

Section: Empirical Analysis Descriptive Statisticsmentioning

confidence: 95%

The Potential Opportunities in International Portfolio Diversification

Heshmat

2019

المجلة العربية للإدارة

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This study aims to investigate potential opportunities in international portfolio diversification. The study searches the opportunities for Egyptian investors in the Middle East and North Africa (MENA), European, Asian and United States stock markets. The study investigates the relationship of the Egyptian' s stock market equity indices with world markets through examining the co-integrating behaviour, Granger causality tests, Variance Decompositions and Impulse Responses. A domestic portfolio has been composed to be used as a benchmark in comparing the benefit of international portfolio diversification using the mean-variance Portfolio Optimization (PO) approach. The results reveal that however the Egyptian market is integrated to the world market, there are still some gains could be achieved from international diversification.

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Section: Empirical Analysis Descriptive Statisticsmentioning

confidence: 95%

The Potential Opportunities in International Portfolio Diversification

Heshmat

2019

المجلة العربية للإدارة

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“…Coeurdacier and Guibaud (2011) argue that both theories and empirical evidence suggest that financial integration between countries has a positive impact on the correlation between equity markets, which tends to reduce IPD's benefits. The economic gains from international equity diversification are still substantial despite the growing markets correlation (Bouslama & Ouda, 2014). On the same line, Maria and Eva (2012) concluded that as the markets become more integrated the co-movements between markets tend to rise, undermining the benefits of IPD.…”

Section: Literature Reviewmentioning

confidence: 99%

The Contribution of African Capital Markets in the Diversification of European Investment Portfolios

Barreto¹

2018

IJEF

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This study aims to evaluate the contribution of the African capital markets in the diversification of European investment portfolios. The study used the methodology based on the application of optimization models like Mean Variance (MV), Resample Michaud (RM), SemiVariance (SV), Mean Absolute Deviation (MAD) and Filtered Historical Simulation (FHS). In-Sample and Out-of-Sample approaches were used to analyze the data. The study results suggested the existence of a strong correlation between some African capital markets and European capital markets, that is, they tend to move in the same direction. The most important being the diversification of global portfolio with assets of African capital markets generate benefits for both types of investors; that is, it provides benefits in the return and reduce investment risk. Still, the study result suggested that the foreign investors should look for an African capital markets with a chance to maximize their wealth and diversify the investment risk in their portfolios. In the same order, the study result went further to elaborate contribute to on the advantage of the international diversification and furthermore contribute to the literature through application of the Filtered Historical Simulation (FHS) method in the optimization portfolio. This methodology, In addition to producing good results, is more restrained in the composition of investment portfolios than the other methods.

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“…FQA 2 refers to a method that gets valuable trading signals by calculating and analyzing the historical securities transaction data according to the user‐defined quantitative strategies. Correspondingly, FQA system 3 refers to a type of system that provides computing services for processing financial transaction data. Figure 1 shows the basic processing workflow of a typical FQA system.…”

Section: Introductionmentioning

confidence: 99%

Alchemy: Distributed financial quantitative analysis system with high‐level programming model

Zhang

et al. 2021

Softw Pract Exp

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Nowadays, the financial securities investment and transaction are processed digitally. The securities companies have accumulated a large amount of financial data. Given that, quantitative analysis has become a common method for securities investors. However, as the scale of data continues to grow, data storing and processing have increasingly become a big challenge to financial quantitative analysts. First, most existing stand‐alone quantitative analysis systems are hard to accelerate data processing in a distributed way. Second, existing distributed computing frameworks such as Apache Spark demands financial quantitative analysts with expertise knowledge on distributed computing. Third, transition from traditional stand‐alone financial quantitative analysis (FQA) system to such distributed computing system often introduces learning efforts and development overheads. To solve these problems, we propose Alchemy, a distributed processing platform tailored for FQA with high‐level programming interface. Alchemy offers distributed computing service and provides a pipeline‐based programming model which shares many similarities with the traditional stand‐alone systems, reducing learning efforts for financial quantitative analysts. The performance of Alchemy is evaluated in both experimental environment and a real‐world production environment in Huatai Securites which is a leading financial company in China. The results show that Alchemy is able to achieve up to 300 times speedup compared against existing financial quantitative analysis systems.

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International Portfolio Diversification Benefits: The Relevance of Emerging Markets

Cited by 10 publications

References 60 publications

The Potential Opportunities in International Portfolio Diversification

The Potential Opportunities in International Portfolio Diversification

The Contribution of African Capital Markets in the Diversification of European Investment Portfolios

Alchemy: Distributed financial quantitative analysis system with high‐level programming model

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