اثر التنوع الدولى على اداءمحفظة الاوراق الماليه للمستثمر المصرى
علا محمود انور;
Abstract
Abstract:
here is vast literature documenting benefits from international diversification for investors from developed countries. In this paper, we take an opposite view of an Egyptian investor who would like to diversify his local portfolio by investing abroad. The Egyptian Stock Exchange is an emerging marlcet. The stock market in Egypt is highly volatile, where high returns are often accompanied by extremely large risk. Therefore, there is a good
potential for Egyptian investors to realize substantial benefits in terms of risk reduction by creating multi-currency portfolios. In addition, the participation in the international economy with competitive and exportable products and services is very impori/Jnt for Egyptian investors. To carry this out, it is essential to have a well-developed financial background. It is also a necessity for Egyptian investors to join the process of global investments by realizing the advantages deriving from these transactions.
The empirical results based on total returns for the complete period from 1997 to 2007 suggest that in an ex post perspective the benefits from international diversification for Egyptian investors were unsubstantial. Moreover, investing in emerging and developed markets does not provide benefits of the magnitude found in earlier studies covering earlier periods. This paper examines the international diversification benefits subject constraints on short selling, we show that the international diversification benefits for Egyptian equity investors not be influenced by prohibited from short selling in emerging and developed markets. We also find that diversification benefits have decreased over the past decade because international market has become more integrated.
In addition, this paper examines whether the benefits to the Egyptian investor from international diversification are present when we control for estimation risk. The performance of the Bayes-Stein international portfolio, which controls directly for such risk, is compared to the performance of three other international portfolios and the Egyptian index. The results of out of sample test confirm the existence of those benefits, but strategies that control for estimation risk not dominate those that do not. Thus, the mean return vector is relatively stable (the Markowiz model realize improved mean- variance efficiency) and international diversification benefits are robust and realized not only by developed countries' investors, but also by investors from the emerging markets, even in times of abnormally high domestic performance.
J
here is vast literature documenting benefits from international diversification for investors from developed countries. In this paper, we take an opposite view of an Egyptian investor who would like to diversify his local portfolio by investing abroad. The Egyptian Stock Exchange is an emerging marlcet. The stock market in Egypt is highly volatile, where high returns are often accompanied by extremely large risk. Therefore, there is a good
potential for Egyptian investors to realize substantial benefits in terms of risk reduction by creating multi-currency portfolios. In addition, the participation in the international economy with competitive and exportable products and services is very impori/Jnt for Egyptian investors. To carry this out, it is essential to have a well-developed financial background. It is also a necessity for Egyptian investors to join the process of global investments by realizing the advantages deriving from these transactions.
The empirical results based on total returns for the complete period from 1997 to 2007 suggest that in an ex post perspective the benefits from international diversification for Egyptian investors were unsubstantial. Moreover, investing in emerging and developed markets does not provide benefits of the magnitude found in earlier studies covering earlier periods. This paper examines the international diversification benefits subject constraints on short selling, we show that the international diversification benefits for Egyptian equity investors not be influenced by prohibited from short selling in emerging and developed markets. We also find that diversification benefits have decreased over the past decade because international market has become more integrated.
In addition, this paper examines whether the benefits to the Egyptian investor from international diversification are present when we control for estimation risk. The performance of the Bayes-Stein international portfolio, which controls directly for such risk, is compared to the performance of three other international portfolios and the Egyptian index. The results of out of sample test confirm the existence of those benefits, but strategies that control for estimation risk not dominate those that do not. Thus, the mean return vector is relatively stable (the Markowiz model realize improved mean- variance efficiency) and international diversification benefits are robust and realized not only by developed countries' investors, but also by investors from the emerging markets, even in times of abnormally high domestic performance.
J
Other data
| Title | اثر التنوع الدولى على اداءمحفظة الاوراق الماليه للمستثمر المصرى | Authors | علا محمود انور | Issue Date | 2009 |
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