Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10159093" target="_blank" >RIV/00216208:11230/13:10159093 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/13:00396417

Výsledek na webu

<a href="http://journal.fsv.cuni.cz/storage/1283_425-42---avdulaj.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1283_425-42---avdulaj.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets

Popis výsledku v původním jazyce

One of the findings of the recent literature is that the 2008 financial crisis caused a reduction in international diversification benefits. To fully understand the potential of diversification, we build an empirical model which combines generalized autoregressive score copula functions with high-frequency data and allows us to capture and forecast the conditional time-varying joint distribution of stock returns. Using this novel methodology and fresh data covering five years after the crisis, we compute the conditional diversification benefits to answer the question of whether it is still interesting for an international investor to diversify. As diversification tools, we consider the Czech PX and the German DAX broad stock indices, and we find that the diversification benefits strongly vary over the 2008-2013 crisis years.

Název v anglickém jazyce

Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets

Popis výsledku anglicky

One of the findings of the recent literature is that the 2008 financial crisis caused a reduction in international diversification benefits. To fully understand the potential of diversification, we build an empirical model which combines generalized autoregressive score copula functions with high-frequency data and allows us to capture and forecast the conditional time-varying joint distribution of stock returns. Using this novel methodology and fresh data covering five years after the crisis, we compute the conditional diversification benefits to answer the question of whether it is still interesting for an international investor to diversify. As diversification tools, we consider the Czech PX and the German DAX broad stock indices, and we find that the diversification benefits strongly vary over the 2008-2013 crisis years.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance a úvěr

ISSN

0015-1920

e-ISSN

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Svazek periodika

63

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

18

Strana od-do

425-442

Kód UT WoS článku

000326923700003

EID výsledku v databázi Scopus

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