Prague Economic Papers 2001, 10(1) | DOI: 10.18267/j.pep.167

International portfolio diversification in the central european region

Milan Neubauer

The aim of this paper is to investigate international portfolio diversification opportunities for German and the U.S. investors in the Central European region. We employ Johansen multivariate cointegration test to analyze long run relationships among the Czech, Slovak, Polish, Hungarian, German and the U.S. stock markets. In addition, we attempt to account for possible impact of the Czech capital market failure on the diversification opportunities in the region. As the cointegration tests bring evidence on long run relationships among the Central European and developed stock markets, expected diversification benefits indicated by the low values of correlations of returns may be overestimated particularly over the longer investment horizons. Since the strength of relationships decreases from past to present, the loss of attractivity of the Czech capital market appears to weaken the long run interdependence among the countries which may paradoxically increase the diversification potential of the Central European region.

Klíčová slova: cointegration, portfolio diversification, Central European emerging markets

Zveřejněno: 1. leden 2001  Zobrazit citaci

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Neubauer, M. (2001). International portfolio diversification in the central european region. Prague Economic Papers, 10(1), . doi: 10.18267/j.pep.167
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