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International Diversification with Focus on Cointegration

Inga Kudzmaite

Published by LAP LAMBERT Academic Publishing
ISBN 10: 365922989X / ISBN 13: 9783659229893
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Title: International Diversification with Focus on ...

Publisher: LAP LAMBERT Academic Publishing

Binding: Paperback

Book Condition: New

Book Type: Paperback

Description:

Paperback. 116 pages. Dimensions: 8.7in. x 5.9in. x 0.3in.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. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Bookseller Inventory # 9783659229893

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Synopsis: 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.

About the Author: The author hold a bachelor in Applied Mathematics from Kaunas University of Technologies, Lithuania, and a master in Finance and Strategic Management from Copenhagen Business School, Denmark. Her educational background is supplemented by 3 years work experience in asset management and fund accounting in a banking sector.

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