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Autor
Wiśniewska Marta (Wyższa Szkoła Bankowa w Toruniu)
Tytuł
Correlation of Stock Market Performance : Deyeloped vs. Emerging Markets
Źródło
Roczniki Naukowe Wyższej Szkoły Bankowej w Toruniu, 2006, nr 5, s. 243-261, rys., tab., bibliogr. 13 poz.
Słowa kluczowe
Dywersyfikacja portfela, Korelacja, Giełda papierów wartościowych
Portfolio diversification, Correlation, Stock market
Uwagi
summ.
Abstrakt
Diversification benefits depend on the correlation of returns of assets included in portfolio. The higher the correlation of returns between two assets is the lower are the benefits of diversification achieved by investing in these two assets. The aim of this article is to present benefits of International diversification by estimation of correlation of returns of different stock markets vs. US stock market. The analysis includes both developed and emerging markets and thus shows the trends on where to seek the biggest diversification benefits. The analysis is done from a US investor perspective. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Bibliografia
Pokaż
  1. Elton, Edwin J., Gruber, Martin J., Brown, Stephen J. and William N. Goetzmann (2003): Modern Portfolio Theory and Investment Analysis. 6* edition, John Wiley& Sons, Inc.
  2. Gujarati, Damodar (1999): Essentials of Econometńcs. 2th edition, Irwin McGraw-Hill.
  3. Abidin, Sazali Zainal (2006): "Impact on Shifts in Correlation Structure on International Portfolio Diversification", Investment Management and Financial Innovations, Vol. 3, Issue 2, pp. 171-196.
  4. Bailey, Warren, and Rene M. Stulz (1990): "Benefits of International Diversification: The Case of Pacific Basin Stock Market", Journal of Portfolio Management, Vol. 16, Iss. 4; pp 57-62.
  5. Errunza, Yihang R. (1977): "Gains from Portfolio Diversification into Less Developed Countries." Journal of International Business Studies, Vol. 8, No. 2 ,pp 83-99.
  6. Eun, Cheol S. and Bruce G. Resnick (1988): "Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection", The Journal of Finance, Vol. 43, No. l, pp.197-215.
  7. Lessard, Donald R. (1976): "World, Country, and Industry Relation-ships in Equity Returns: Implications for Risk Reduction through International Diversification", Financial Analyst Journal, Vol. 32, Issue l, pp. 32-38.
  8. Solnik, Bruno H. (1974): "Why Not Diversify Internationally Rather Then Domestically", Financial Analyst Journal, Vol. 30, Issue 4, pp. 48-54.
  9. Solnik, Bruno H., and Bernard Noetzlin (1982): "Optimal International Asset Allocation", Journal of Portfolio Management, Vol. 9, No. l, pp. 11-21.
  10. Solnik, Bruno H., Boucrelle, Cyril, and Yann Le Fur (1996): "International Market Correlation and Volatility", Financial Analysts Journal, Vol. 52, Issue 5, pp. 17-34.
  11. Internet Sources.
  12. www.msci.com Website of Morgan Stanley Capital International.
  13. www. worldbank.org_Website of World Bank.
Cytowane przez
Pokaż
ISSN
1643-8175
Język
eng
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