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Diversification benefits for Swedish investors: A comparison of benefits from before and after the financial crisis 2007/2008
Jönköping University, Jönköping International Business School, JIBS, Economics.
2019 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Background: Investing internationally is easier than ever before, with the rise of the internet, unification of accounting standards, and faster flow of information. Yet, many argue that due to increasing global equity market correlations, it is getting increasingly hard to attain benefits from international diversification. Therefore, it is important to know if there are any benefits attainable from international diversification for Swedish investors.

Purpose: The purpose of this thesis is to investigate if there are any benefits achievable from international diversification for Swedish investors, if those benefits have changed from before and after the financial crisis in 2007/2008, as well as where Swedish investors might attain the greatest benefits from diversification; namely in developed- or emerging markets.

Method: Correlations are measured over the time periods before and after the financial crisis, using both a 61-month correlation window (the entire periods) as well as a 12-month rolling correlation window.  To test diversification benefits, different portfolios are created using the Markowitz Portfolio Optimizer, such as a Maximum Sharpe portfolio and an Equal Weighted portfolio.

Conclusion: Correlations have increased from before and after the financial crisis, both for developed- and emerging markets. Diversification benefits exist for Swedish investors, but they have decreased from before and after the financial crisis, and they appear slightly greater in emerging markets than in developed markets.

Place, publisher, year, edition, pages
2019. , p. 58
Keywords [en]
International Diversification, Correlations, Equity Markets, Diversification Benefits
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-45577ISRN: JU-IHH-NAA-2-20190162OAI: oai:DiVA.org:hj-45577DiVA, id: diva2:1343236
Subject / course
JIBS, Economics
Presentation
2019-08-15, JIBS rum 5002, Gjuterigatan 5, 553 18 Jönköping, 19:54 (English)
Supervisors
Examiners
Available from: 2019-08-20 Created: 2019-08-15 Last updated: 2019-08-20Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf