BENEFITS OF INTERNATIONAL PORTFOLIO DIVERSIFICATION GIVEN INCREASINGLY INTEGRATED GLOBAL STOCK MARKETS

Osinowo, Adenike.A (2009) BENEFITS OF INTERNATIONAL PORTFOLIO DIVERSIFICATION GIVEN INCREASINGLY INTEGRATED GLOBAL STOCK MARKETS. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

In this dissertation we examine the stock market indices of seven developed countries and seven emerging countries, as well as nine industry returns indices of each of the fourteen countries. This is sub-divided into before subprime crisis period (January 1995 - July 2007) and subprime crisis period (August 2007 - July 2009), to determine whether there are benefits to be gained by investors from international portfolio diversification especially during global bearish cycles when diversification is needed the most.

Using cointegration tests on the returns of the indices over the time period, we were able to provide evidence that indeed global equity markets have become increasingly integrated (that is, both developed and emerging countries). Correlation coefficient matrix methodology was then used on both country indices and industry to determine whether investors can still benefit from international portfolio diversification.

The conclusion was that diversifications into developed markets offer lowest benefits; including emerging countries offers higher benefits, however, emerging markets are showing evidence of increasing integration with developed markets. Therefore, it is important to carry out in-depth research on the industry that would be diversified into internationally to gain the most benefits from international diversification during bullish and bearish global cycles.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 03 Feb 2010 12:54
Last Modified: 23 Oct 2016 08:19
URI: http://eprints.nottingham.ac.uk/id/eprint/22876

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