International diversification with focus on cointegration
Inga Kudzmaite
Broschiertes Buch

International diversification with focus on cointegration

From a perspective of Lithuanian Investor

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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 ...