Twenty Years of International Diversification from a German Perspective

Gerke, Wolfgang; Mager, Ferdinand; Röhrs, Alexander

doi:10.1007/bf03396710

Cited by 17 publications

(6 citation statements)

References 14 publications

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“…The studies by Chan et al [2005], Oehler et al [2006], and Gerke et al [2005] showed the existence of this phenomena on the German market. We have selected those countries, as investors from those countries are the most active players on the Eurex exchange.…”

Section: E X H I B I T 7 Results Of Regressions With Log Volume Tradementioning

confidence: 92%

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Determinants of Trading Activity on theSingle-Stock Futures Market: Evidence from theEurex Exchange

Białkowski¹,

Jakubowski

2012

JOD

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Notes: The top panel plots the average mispricing abnormal volatility around 990 ex-dividend dates for 420 companies. The sharp decrease of mispricing indicates improvement in market efficiency. The lower panel depicts the average level of the open interest and the traded volume around ex-dividend dates. The left-hand scale corresponds to the traded volume and the right-hand one to open interest. The scales are different. Both magnitudes tend to increase, revealing the high market activity around the event date. Notes: This exhibit reports the arithmetic mean of open interest, traded volume, and mispricing calculated around the ex-dividend dates for 420 companies. The arithmetic means are calculated cross-day around the event date. Panel A reports means for the full sample of N = 990 events for 420 companies, whereas Panel B reports the results for companies with a dividend yield lower than median equal to 2.26%. Panel C of the exhibit reports means for the sample of companies with institutional ownership higher than the median. The null hypotheses that examined means are lower than the corresponding minimums of median and mean for the whole sample are tested.

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Section: E X H I B I T 7 Results Of Regressions With Log Volume Tradementioning

confidence: 92%

“…Previous studies have provided evidence that German investors show signs of home bias (Oehler et al [2006]; Gerke et al [2005]). We would like to check whether our results are confirmed for SSFs that are the most popular among investors.…”

Section: E X H I B I T 7 Results Of Regressions With Log Volume Tradementioning

confidence: 99%

Determinants of Trading Activity on theSingle-Stock Futures Market: Evidence from theEurex Exchange

Białkowski¹,

Jakubowski

2012

JOD

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“…Liljeblom et al (1997) investigated the benefits of IPD from the point of view of Nordic investors; Ho et al (1999) reported that reducing the risk of loss through IPD would be of substantial benefit to Canadian investors; Rowland and Tesar (2004) and Gerke et al (2005) also examined the potential benefits of IPD from the perspective of the German investor; Dunis and Shannon (2005) who examined stock markets in Southeast Asia (Malaysia, Philippines and Indonesia) and Central Asia (China, Belize, Taiwan and India), found that IDP would be beneficial to investors in the USA; Kearney and Poti (2006) used two conditional and unconditional estimation methods and analyzed the dynamics of correlation in five leading European capital markets, and Égert and Kocenda (2007) analyzed the issue between Eastern European stock markets and Central Bank ,where they stated that there is no long-term bond between stock markets between these two blocs. Therefore, on the question of the International Portfolio Diversification in the African context, there are practically no studies done, except for the few references that however, did not have a great impact on the African capital markets.…”

Section: Literature Reviewmentioning

confidence: 99%

The contribution of the African capital markets in the diversification of investment global portfolios

Barreto¹

2017

Afr. J. Bus. Manage.

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This study aims to evaluate the contribution of the African capital markets in the diversification of investment global portfolios. The study used the methodology based on the application of optimization models like mean variance (MV), resample michaud (RM), semi variance (SV), mean absolute deviation (MAD), and filtered historical simulation (FHS). In-sample and out-of-sample approaches were used to analyze the data. The study results suggested the existence of a strong correlation between some African capital markets and global capital markets, that is, they tend to move in the same direction. The most important being the diversification of global portfolio with assets of African capital markets generate benefits for both types of investors, risk averse and taker investors; that is, it provides benefits in the return and reduce investment risk. Still, the study results suggested that the foreign investors should look for African capital markets with a chance to maximize their wealth and diversify the investment risk in their portfolios. In the same order, the study result went further to elaborate on the advantages of the international diversification and furthermore contributes to the literature through application of the FHS method in the optimization portfolio. This methodology in addition to producing good results, is more restrained in the composition of investment portfolios than the other methods.

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“…Thus, while diversifying in all the markets, the reduction of risk exceeds the double of that of main markets of the world. Gerke et al (2005) analyzed the advantages of international portfolio diversification for German investors over a 20 years period. The authors showed that the frontier of mean-variance of 15 developed markets dominates national indices during the period 1980 to 2001.…”

Section: Literature Reviewmentioning

confidence: 99%

International portfolio diversification: Cointegration, causality tests and error correction model

Hadidane¹

2011

J. Econ. Int. Finance

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The objective of this paper is to examine the short and long term relationships between 22 financial markets in order to study their implication on the potential gains from international diversification during the period 1987 to 2004. We will make an empirical study based on cointegration, causality tests and error correction model. The results of bivariate tests show the existence of long term equilibrium relations between United States and some developed markets such as Belgium, United Kingdom and Sweden. The results of multivariate tests show that the increase of financial integration degree has not affected the expected benefits from international diversification in emerging markets. The gains remain significantly important for American investors in emerging equity markets.

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Twenty Years of International Diversification from a German Perspective

Cited by 17 publications

References 14 publications

Determinants of Trading Activity on theSingle-Stock Futures Market: Evidence from theEurex Exchange

Determinants of Trading Activity on theSingle-Stock Futures Market: Evidence from theEurex Exchange

The contribution of the African capital markets in the diversification of investment global portfolios

International portfolio diversification: Cointegration, causality tests and error correction model

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