Portfolio diversification benefits within Europe: Implications for a US investor

Laopodis, Nikiforos T.

doi:10.1016/j.irfa.2004.10.012

Cited by 15 publications

(10 citation statements)

References 39 publications

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“…In the same way, recent study of Fletcher (2018) concluded that yet the benefits of international diversification are significant. Laopodis (2005) argued that analysts said that financial integration among global capital markets has reduced IPD's benefits by increasing the correlation between equity markets. 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.…”

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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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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“…Rezayat and Yavas (2006) examined short-term co-movements between the five major stock markets (USA, UK, France, Germany and Japan) to assess the benefits of International Portfolio Diversification (IPD) and concluded that despite the fact that there is still room for diversification, the benefits are minimal for American and European investors who would like to invest exclusively in these two major economic blocs (Europe and America). Laopodis (2005) argued that analysts is of the opininon that financial integration among global capital markets has reduced IPD's benefits by increasing the correlation between equity markets. 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.…”

Section: Literature Reviewmentioning

confidence: 99%

The contribution of the African capital markets in the diversification of investment global portfolios

Barreto¹

2017

Afr. J. Bus. Manage.

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This study aims to evaluate the contribution of the African capital markets in the diversification of investment global portfolios. The study used the methodology based on the application of optimization models like mean variance (MV), resample michaud (RM), semi variance (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 global 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, risk averse and taker investors; that is, it provides benefits in the return and reduce investment risk. Still, the study results suggested that the foreign investors should look for 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 on the advantages of the international diversification and furthermore contributes to the literature through application of the 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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“…While a significant body of papers has documented the nature of long-term relations in both Asian (Yang and Siregar 2001, Azman-Saini 2002, Manning (2002, Phylaktis and Ravazollo, 2005, Laopodis, 2005, Chang and Caudill, 2006and Choudhry, 2007 and European (Serletis and King 1997, Chan et al, 1997, Rangvid, 2001, Phengpis and Apilado, 2004, Voronkova, 2004, Yang et al, 2006, Syriopoulos, 2007and Aggarwal et al, 2009 African stock markets and use, in addition to a regime switching cointegration methodology, the nonparametric cointegration model of Breitung (2002) and the stochastic volatility cointegration model of Harris et al, (2002).…”

Section: Accepted Manuscriptmentioning

confidence: 99%

Robust global stock market interdependencies

Lucey

Muckley

2011

International Review of Financial Analysis

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In this paper, we examine the scope for international stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the European stock markets provide a superior long-term diversification opportunity relative to that provided by the Asian stock markets. Hence, a short-term measurement of interdependence appears to be uninformative with respect to the diversification opportunities of investors with longer term investment horizons. In terms of methodology, we adopt common stochastic trend tests, including a common stochastic trend test which accounts for generalised autoregressive conditional heteroskedasticity effects in conjunction with the recursive estimation of these tests to estimate the development of longterm stock market interdependence linkages. Recursively estimated robust correlations between the international stock markets are utilised to reveal the nature of short-term stock market interdependence linkages.

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Portfolio diversification benefits within Europe: Implications for a US investor

Cited by 15 publications

References 39 publications

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

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

The contribution of the African capital markets in the diversification of investment global portfolios

Robust global stock market interdependencies

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