Nonparametric Approach to Portfolio Diversification: The Case of Australian Equity Market - Un approccio non-parametrico alla diversificazione del portafoglio: il caso del mercato azionario australiano
This study investigates the portfolio diversification possibilities among Australian sectoral, size and style indexes and between Australian aggregate equity index and selected international indexes. Two analytical methods are used – nonparametric cointegration that appears to be the most appropriate for the financial data analysis, and principal component analysis (PCA) that is suitable for detecting relations among a large number of variables and for clustering co-moving variables. Having identified linear and nonlinear unit roots in the time series data we show that based on Bierens’ nonparametric cointegration the number of cointegrating relations between respective indexes increases (and the portfolio diversification opportunities diminish) in the post-GFC period (2007-2012) relative to the historic average (1992-2012). Regarding sectoral diversification, the PCA results suggest that sectoral relations underwent minor changes in the post-GFC period with few additional diversification opportunities appearing. - In questo studio si esaminano le possibilità di diversificazione del portafoglio tra indici australiani settoriali, dimensionali e di stile di gestione e tra indici aggregati australiani e indici internazionali. Vengono usati due metodi – la cointegrazione non-parametrica, che sembra essere la più appropriata per l’analisi dei dati finanziari, e l’analisi delle componenti principali (PCA) che consente di individuare le relazioni esistenti tra numerose variabili e di individuare gruppi di variabili mobili. Dopo aver identificato le radici unitarie lineari e non lineari nei dati time series lo studio mostra che sulla base della cointegrazione non-parametrica di Bierens il numero di relazioni cointegrate tra i rispettivi indici aumenta (e le opportunità derivanti dalla diversificazione del portafoglio diminuiscono) nel periodo post-GFC (2007-2012) relativamente alla media storica (1992-2012). Per quanto riguarda la diversificazione settoriale, i risultati della PCA suggeriscono che relazioni settoriali hanno subito cambiamenti modesti nel periodo post-GFC con poche opportunità ulteriori di diversificazione.
Volume (Year): 66 (2013)
Issue (Month): 1 ()
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