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Seeking The Diversification Benefits With Foreign Equities And Commodities – The Case Of Polish Investor

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  • Rados³aw Kurach

    ()
    (Wyzsza Szkola Informatyki i Zarzadzania w Rzeszowie)

Abstract

By estimating the correlation coefficients values we compare in this study the diversification potential of the different foreign equity markets and commodities. We present the findings that reflect the perspective of Polish investor. Our results are following: we identify a significant departure from normality in assets returns distributions, hence we provide an evidence on changing correlation patterns, which means varying diversification potential of different assets. We note that commodities are rather moderately correlated with the equity markets and the degree of comovement even diminish if we convert the USD prices into PLN ones. This phenomenon increases the potential for risk reduction of Polish investor.

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File URL: http://www.e-finanse.com/artykuly_eng/225.pdf
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Bibliographic Info

Article provided by University of Information Technology and Management, Institute of Financial Research and Analysis in its journal e-Finanse.

Volume (Year): 8 (2012)
Issue (Month): 3 (October)
Pages: 26-36

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Handle: RePEc:rze:efinan:v:8:y:2012:i:3:p:26-36

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Web page: http://www.ibaf.edu.pl/
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  1. Jean Imbs, 2004. "Trade, Finance, Specialization, and Synchronization," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 723-734, August.
  2. Baxter, Marianne & Kouparitsas, Michael A., 2005. "Determinants of business cycle comovement: a robust analysis," Journal of Monetary Economics, Elsevier, vol. 52(1), pages 113-157, January.
  3. Flood, Robert P & Rose, Andrew K, 2009. "Inflation Targeting and Business Cycle Synchronization," CEPR Discussion Papers 7377, C.E.P.R. Discussion Papers.
  4. Radoslaw Kurach, 2012. "Stocks, Commodities and Business Cycle Fluctuations – Seeking the Diversification Benefits," Equilibrium, Uniwersytet Mikolaja Kopernika, vol. 7, pages 101-116.
  5. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  6. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
  7. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
  8. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  9. Kinga Niemczak, 2010. "Eastern European Equity Markets and the Subprime Crisis Does Emerging Europe Still Offer Diversification Benefits?," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 6(3), pages 47-63, October.
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