IDEAS home Printed from https://ideas.repec.org/a/prg/jnlpep/v2001y2001i1id167.html
   My bibliography  Save this article

International portfolio diversification in the central european region

Author

Listed:
  • Milan Neubauer

Abstract

The aim of this paper is to investigate international portfolio diversification opportunities for German and the U.S. investors in the Central European region. We employ Johansen multivariate cointegration test to analyze long run relationships among the Czech, Slovak, Polish, Hungarian, German and the U.S. stock markets. In addition, we attempt to account for possible impact of the Czech capital market failure on the diversification opportunities in the region. As the cointegration tests bring evidence on long run relationships among the Central European and developed stock markets, expected diversification benefits indicated by the low values of correlations of returns may be overestimated particularly over the longer investment horizons. Since the strength of relationships decreases from past to present, the loss of attractivity of the Czech capital market appears to weaken the long run interdependence among the countries which may paradoxically increase the diversification potential of the Central European region.

Suggested Citation

  • Milan Neubauer, 2001. "International portfolio diversification in the central european region," Prague Economic Papers, Prague University of Economics and Business, vol. 2001(1).
    • Handle: RePEc:prg:jnlpep:v:2001:y:2001:i:1:id:167
    DOI: 10.18267/j.pep.167
    as

    Download full text from publisher

    File URL: http://pep.vse.cz/doi/10.18267/j.pep.167.html
    Download Restriction: free of charge
    File URL: https://libkey.io/10.18267/j.pep.167?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prg:jnlpep:v:2001:y:2001:i:1:id:167. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Stanislav Vojir (email available below). General contact details of provider: https://edirc.repec.org/data/uevsecz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.