Jan Antell: International diversification of investments may be beneficial01.08.2004
International share prices move rather incoherently, which means that a geographic diversification of investments may be beneficial. This is one of the results presented in the doctoral thesis of MSc (Econ.), M.Soc.Sc. Jan Antell. Antell’s thesis “Essays on the Linkages between Financial Markets, and Risk Asymmetries” was presented at the Swedish School of Economics and Business Administration in August 2004.
The first essay of the dissertation studies to which extent international stock prices comove. The markets studied were England, France, Sweden, Germany, Finland and the United States. The degree of comovements is low, indicating that, in the long term, investors may benefit from international diversification.
The second essay examines the degree to which the Finnish market is linked to the world market. It is shown that the impact of world factors has increased over time.
The third essay focuses on the stock, bond, and money markets in Finland and the degree of their linkages. According to a trading model, the degree of volatility linkages should be strong. However, the results contradict this. The linkages are surprisingly weak, even negative. The stock market is the most independent of the three, while the money market is affected by events on the two other markets.
The Finnish Foundation for Share Promotion has been one of the sponsors of the thesis.
Additional information: Jan Antell jan.antell(at)hanken.fi