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Diversifiering mot tillväxtländer utifrån en svensk investerares perspektiv

Liss, Johannes (2009)
Department of Economics
Abstract
The purpose of this thesis is to examine a Swedish investor’s possibility to diversify into Emerging markets. This is done by investigate if correlations between Sweden and 24 Emerging markets is higher in bear market than during other market conditions. In the next step a multi index model is used to check if volatility affects correlation between the markets. Finally four ex ante portfolios were created and compared. The conclusions are that correlations between Sweden and Emerging markets are higher during bear markets, which reduces the benefits of diversification. The multi index model shows mixed results in finding causality between volatility and correlations with a coefficient of determination in line with earlier studies for some... (More)
The purpose of this thesis is to examine a Swedish investor’s possibility to diversify into Emerging markets. This is done by investigate if correlations between Sweden and 24 Emerging markets is higher in bear market than during other market conditions. In the next step a multi index model is used to check if volatility affects correlation between the markets. Finally four ex ante portfolios were created and compared. The conclusions are that correlations between Sweden and Emerging markets are higher during bear markets, which reduces the benefits of diversification. The multi index model shows mixed results in finding causality between volatility and correlations with a coefficient of determination in line with earlier studies for some regressions and very low or absent for others. When comparing the ex ante strategies we found that the minimum variance portfolio showed the highest Sharpe value while the Swedish portfolio showed the lowest. (Less)
Please use this url to cite or link to this publication:
author
Liss, Johannes
supervisor
organization
year
type
M2 - Bachelor Degree
subject
keywords
korrelation, risk, portföljvalsteori, emerging markets, bear market, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
language
Swedish
id
1396070
date added to LUP
2009-05-10 00:00:00
date last changed
2010-08-03 10:52:16
@misc{1396070,
  abstract     = {The purpose of this thesis is to examine a Swedish investor’s possibility to diversify into Emerging markets. This is done by investigate if correlations between Sweden and 24 Emerging markets is higher in bear market than during other market conditions. In the next step a multi index model is used to check if volatility affects correlation between the markets. Finally four ex ante portfolios were created and compared. The conclusions are that correlations between Sweden and Emerging markets are higher during bear markets, which reduces the benefits of diversification. The multi index model shows mixed results in finding causality between volatility and correlations with a coefficient of determination in line with earlier studies for some regressions and very low or absent for others. When comparing the ex ante strategies we found that the minimum variance portfolio showed the highest Sharpe value while the Swedish portfolio showed the lowest.},
  author       = {Liss, Johannes},
  keyword      = {korrelation,risk,portföljvalsteori,emerging markets,bear market,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Diversifiering mot tillväxtländer utifrån en svensk investerares perspektiv},
  year         = {2009},
}