Seeking The Diversification Benefits With Foreign Equities And Commodities – The Case Of Polish Investor
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.
Volume (Year): 8 (2012)
Issue (Month): 3 (October)
|Contact details of provider:|| Web page: http://www.ibaf.edu.pl/|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jean Imbs, 2004.
"Trade, Finance, Specialization and Synchronization,"
- Jean Imbs, 2004. "Trade, Finance, Specialization, and Synchronization," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 723-734, August.
- Jean Imbs, 2003. "Trade, Finance, Specialization, and Synchronization," IMF Working Papers 03/81, International Monetary Fund.
- Imbs, Jean, 2003. "Trade, Finance, Specialization and Synchronization," CEPR Discussion Papers 3779, C.E.P.R. Discussion Papers.
- Flood, Robert P. & Rose, Andrew K., 2010.
"Inflation targeting and business cycle synchronization,"
Journal of International Money and Finance,
Elsevier, vol. 29(4), pages 704-727, June.
- Flood, Robert P & Rose, Andrew K, 2009. "Inflation Targeting and Business Cycle Synchronization," CEPR Discussion Papers 7377, C.E.P.R. Discussion Papers.
- Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
- 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.
- 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.
- Marianne Baxter & Michael A. Kouparitsas, 2004. "Determinants of Business Cycle Comovement: A Robust Analysis," NBER Working Papers 10725, National Bureau of Economic Research, Inc.
- Marianne Baxter & Michael A. Kouparitsas, 2004. "Determinants of business cycle comovement: a robust analysis," Working Paper Series WP-04-14, Federal Reserve Bank of Chicago.
- 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.
- 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.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
When requesting a correction, please mention this item's handle: RePEc:rze:efinan:v:8:y:2012:i:3:p:26-36. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Pawel Bochenek)
If references are entirely missing, you can add them using this form.