Diversification Effect of Emerging Market Over Time

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Scholarly level: 
Graduate student (Masters)
Date created: 
2018-12
Keywords: 
U.S monetary policy
Emerging markets
Diversification
Asset allocation
International stock markets
Efficient frontier
Abstract: 

This paper studies the influence of U.S monetary policy on international stockreturn-risk characteristics over three major periods led by U.S recessions. Additionally, itaddresses whether emerging market provides diversification benefits to the optimalportfolio for a typical Canadian investor. Results show that U.S monetary policy does not significantly influence the returnsof most stock markets. However, it does significantly affect their risk characteristics. Dueto the changing return, risk and variance-covariance for assets under each period, optimalasset allocation results varied greatly over time. Emerging market did not consistentlyprovide diversification benefits under all periods. Results from the most recent period ledby the Great Recession show no diversification benefit from emerging market, contraryto studies of earlier periods where benefits were present.

Description: 

MSc in Finance Project-Simon Fraser University

Language: 
English
Document type: 
Graduating extended essay / Research project
Rights: 
Copyright remains with the author.
File(s): 
Senior supervisor: 
Peter Klein
Department: 
Beedie School of Business-Segal Graduate School
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