scholarly journals Portfolio Diversification and Capital Accumulation of Rwanda Stock Exchange of Listed Financial Companies: A Case of Selected Financial Companies Listed on Rwanda Stock Exchange

2021 ◽  
Vol 5 (3) ◽  
pp. 133-146
Author(s):  
Vincent Ngarambe ◽  
◽  
Paul Munene Muiruri ◽  
Keyword(s):  
Capital Accumulation ◽  
Stock Exchange ◽  
Portfolio Diversification

scholarly journals Measuring Co-Movements and Linkages between Nigeria and the UAE Stock Exchanges: Is there Opportunity for Portfolio Building?

2020 ◽  
Vol 1 (2) ◽  
pp. 106-122
Author(s):  
Shafiu Abdullahi
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Market Integration ◽  
Stock Exchange ◽  
Portfolio Diversification ◽  
Empirical Literature ◽  
Stock Exchanges ◽  
Financial Contagion ◽  
Stock Market Integration ◽  
Short Run

Purpose: The main objective of this study is to examine the relationship between Nigerian Stock Exchange and Dubai stock exchange with the aim of finding out the direction of movements between their respective indices. Approach/Methodology/Design: The methodology adopted for the analysis is ARDL cointegration model and the Generalized Method of Moment (GMM). This is because of their known efficiency in detecting patterns between variables. Findings: The result of the short-run analysis using GMM shows that there is existence of short-run causality between the Dubai financial market (DFM) and the Nigerian stock exchange (NSE). Thus, for investors looking for short- run arbitrage opportunity between the markets, they shall look elsewhere. But, the result of bound testing has shown lack of cointegration between the two markets. This is a sign of existence of opportunities for portfolio diversification between Nigeria stock exchange and Dubai financial market, since the two markets are not cointegrated in the long-run. Practical Implications: The study helps bridge the empirical literature gap in stock market integration and portfolio diversification with reference to the Nigeria and UAE. It will, therefore, guide local and foreign investors with interest in Nigeria and UAE Stock Exchanges. It will also guide Nigerian and UAE policy makers to understand the market better, especially as it concerns financial contagion. Originality/value: This study provides further evidence on stock market integration in emerging markets. New researches shall adopt different methodology such as use of volatility tracking models to measure volatility linkage between the markets.

PORTFOLIO DIVERSIFICATION IN THE KARACHI STOCK EXCHANGE

2015 ◽  
Vol 1 (1) ◽  
Author(s):  
Aakash Ahuja
Keyword(s):  
Stock Exchange ◽  
Financial Analysts ◽  
Portfolio Diversification ◽  
Expected Return ◽  
Minimum Number ◽  
Standard Deviations ◽  
Diversified Portfolio

Investment in stocks and expected return from such investment always comes with risk. Financial economists and financial analysts have been working for years to find ways to minimize risk. What all financial analysts believe is that creating well-diversified portfolio can minimize risk. Fama (1976), Elton & Grubber (1977), Evans & Archer (1968) and many other analysts have shown that well-diversified portfolios can actually minimize risk and have suggested the minimum number of stocks required for a well-diversified portfolio. In this paper portfolio diversification theory is applied for the investors investing in the Karachi Stock Exchange. Fifteen (15) securities were randomly selected and equally weighted portfolios were created. Standard Deviations for all portfolios were calculated and the results were analyzed. The study concluded that a portfolio of 10 stocks can diversify away significant amount of risk.

scholarly journals The impact of domestic portfolio diversification strategies in Toronto stock exchange on Canadian textile manufacturing industry

2020 ◽  
Vol 71 (03) ◽  
pp. 215-222
Author(s):  
ABDULLAH EJAZ ◽  
RAMONA BIRAU ◽  
CRISTI SPULBAR ◽  
RAMONA BUDA ◽  
ANDREI COSMIN TENEA
Keyword(s):  
Textile Industry ◽  
Manufacturing Industry ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Correlation Coefficients ◽  
Portfolio Diversification ◽  
Toronto Stock Exchange ◽  
Textile Manufacturing ◽  
Diversification Strategies ◽  
The Impact

The aim of this research study is to examine the impact of domestic portfolio diversification strategies in Toronto Stock Exchange (TSX) on Canadian textile manufacturing industry in order to obtain attractive investment opportunities. Dissipation of benefits of globally diversified portfolios due to overwhelming convergence among the international and regional stock markets around the globe have given rebirth to the idea of domestic portfolio diversification particularly after the global financial crisis of 2008. Textile industry in Canada is challenging but can achieve higher performance based on Toronto Stock Exchange behavior. Therefore, this is a complex applied research focused on investigating TSX as standalone stock market for domestic diversification opportunities. For this purpose, correlation coefficients, pairwise cointegration, multiple cointegration and causality of sectors in TSX have been examined. The empirical results show that majority of the sectors in TSX do not share high correlation with each other and they are also not highly cointegrated. These empirical findings indicate that TSX presents attractive opportunities for domestic portfolio diversification.

scholarly journals An Optimal Control Approach to Portfolio Diversification on Large Cap Stocks Traded in Tokyo Stock Exchange

2022 ◽  
Author(s):  
Muhammad Jaffar Sadiq Abdullah ◽  
Norizarina Ishak
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Risk Mitigation ◽  
Portfolio Diversification ◽  
Diversification Strategy ◽  
Optimal Portfolios ◽  
Control Approach ◽  
The Global Financial Crisis ◽  
Naïve Diversification

In this chapter, Markowitz mean-variance approach is proposed for examining the best portfolio diversification strategy within three subperiods which are during the global financial crisis (GFC), post-global financial crisis, and during the non-crisis period. In our approach, we used 10 securities from five different industries to represent a risk-mitigation parameter. In this way, the naive diversification strategy is used to serve as a comparison for the approach used. During the computation process, the correlation matrices revealed that the portfolio risk is not well diversified during non-crisis periods, meanwhile, the variance-covariance matrices indicated that volatility can be minimized during portfolio construction. On this basis, 10 efficient portfolios were constructed and the optimal portfolios were selected in each subperiods based on the risk-averse preference. Performance-wise that optimal portfolio dominated the naïve strategy throughout the three subperiods tested. All the optimal portfolios selected are yielding more returns compared to the naïve portfolio.

scholarly journals Analysing portfolio diversification opportunities in selected stock markets of North and South America and their impact on the textile sector: An empirical case study

2021 ◽  
Vol 72 (04) ◽  
pp. 398-407
Author(s):  
RAMONA BIRAU ◽  
CRISTI SPULBAR ◽  
AJMAL HAMZA ◽  
EJAZ ABDULLAH ◽  
ELENA LOREDANA MINEA ◽  
...  
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Financial Integration ◽  
Stock Exchange ◽  
Portfolio Diversification ◽  
Causality Test ◽  
International Portfolio Diversification ◽  
Integration Test ◽  
Textile Sector

This empirical study investigates the financial integration linkages among the sample stock markets of Canada, Mexico,United States (for both New York Stock Exchange, i.e. NYSE and NASDAQ), Panama, Brazil, Chile, Peru, Venezuela,Jamaica, Trinidad, and Tobago during the period from January 2001 to April 2019. This research study also examinesthe impact of selected stock market dynamics on the textile sector. International portfolio diversification has been animportant subject of research in financial fraternity since the emergence of Modern Portfolio Theory in 1952. This studyexamines the portfolio diversification opportunities in the 11 stock markets of Americas.International diversificationamong stock market indices has proven to be fruitful in the past. Certain tests have been used to determine opportunitiesfor diversification are correlation test, pairwise co-integration test, multiple co-integration test and granger causality test.The empirical results show that stock market indices share low correlation among other and they are not highlyco-integrated whereas results of Granger causality test exhibit an unidirectional relationship among few stock marketsin short run.

scholarly journals Cointegration of Stock Prices and Domestic Portfolio Diversification Opportunities: Evidence from the Ghana Stock Exchange

2017 ◽  
Vol 4 (5) ◽  
pp. 78
Author(s):  
George Amfo-Antiri ◽  
Edward Quansah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Composite Index ◽  
Cointegration Analysis ◽  
Portfolio Diversification ◽  
Individual Investors ◽  
Long Run ◽  
Ghana Stock Exchange ◽  
Bound Test

This paper employed Engle-Granger test of cointegration and the Bound Test to explore potential domestic portfolio diversification opportunities that are available for individual investors, institutional and other portfolio managers from constructing domestic portfolios. Daily stock prices for the period 1st August, 2011 to July 29th, 2016 have been employed as well as monthly stock return from the Ghana Stock exchange. The result from the cointegration analysis indicated that most equity stocks listed on the Ghana Stock Exchange are not cointegrated with each other in the long run. In addition, majority of the stock returns are statistically insensitive to the GSE– Composite index during the period under consideration. The empirical evidence indicates that domestic investors can benefit from constructing portfolios that consist of equities from the financial sector and other non-financial sectors which are not cointegrated.

The significance and performance of property companies on the AIM stock market

2018 ◽  
Vol 11 (1) ◽  
pp. 28-43 ◽  
Author(s):  
Graeme Newell ◽  
Muhammad Jufri Bin Marzuki
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Investment Decision ◽  
Portfolio Diversification ◽  
Content Type ◽  
Investment Decision Making ◽  
Property Companies ◽  
Strategic Role ◽  
And Performance

Purpose The Alternative Investment Market (AIM) is an important UK growth-focused stock market. The purpose of this paper is to assess the significance, risk-adjusted performance and portfolio diversification benefits of property companies on the AIM stock market over 2005-2015. The post-Global Financial Crisis (GFC) recovery of property companies on AIM is highlighted, as well as their performance compared with property companies on the London Stock Exchange (LSE) main board. Design/methodology/approach Using monthly total returns, the risk-adjusted performance and portfolio diversification benefits of property companies on the AIM stock market over 2005-2015 are assessed and compared with a range of other asset classes. Sub-period analysis is used to assess the post-GFC recovery of the property companies on AIM. Findings Property companies on AIM delivered poor risk-adjusted returns over 2005-2015, with limited portfolio diversification benefits with the overall AIM stock market. However, since the GFC, property companies on AIM have delivered strong risk-adjusted returns, with improved portfolio diversification benefits with the overall AIM stock market. This post-GFC performance is shown to be more than a small cap effect, reflecting the property portfolios in these AIM property companies. Despite this strong post-GFC performance, the AIM property companies under-performed property companies on the LSE main board on a risk-adjusted basis. Practical implications AIM provides an important platform for property companies seeking start-up and growth opportunities in a less-regulated funding environment. This has been reinforced by strong risk-adjusted performance in a post-GFC context. However, the stronger risk-adjusted performance of LSE listed property companies and their superior scale, resources and higher quality property portfolios present challenges for increased investor support for the AIM property companies going forward. Originality/value This paper is the first published empirical research analysis of the risk-adjusted performance and diversification benefits of property companies on the AIM stock market. This research enables empirically validated, more informed and practical property investment decision-making regarding the strategic role of property companies on the AIM stock market in a portfolio.

scholarly journals The Effect of Portfolio Diversification for the Bursa Malaysia

2019 ◽  
Vol 8 (4) ◽  
pp. 76
Author(s):  
Nadia Nadira Mohd Norsiman ◽  
Noor Azuddin Yakob ◽  
Carl B. McGowan, Jr
Keyword(s):  
Stock Exchange ◽  
Total Sample ◽  
Portfolio Diversification ◽  
Investment Portfolio ◽  
Empirical Results ◽  
Three Samples ◽  
Portfolio Size ◽  
Stock Portfolio ◽  
Data Frequency ◽  
Diversified Portfolio

This paper examines the effect of portfolio diversification for stocks listed on the Malaysian stock exchange. We determine the extent to which the unsystematic risk component can be reduced through diversification posited by Modern Portfolio Theory. Prices of randomly selected stocks were obtained from Yahoo! Finance for the five year period starting from January 2010 to March 2014. In order to analyze the robustness of the empirical results, three sets of portfolios were tested in this study and each set contained 55 stocks. The total sample of 165 stocks was chosen from different sectors that are listed under Bursa Malaysia. In addition, the three samples were tested for two type of differencing intervals, daily and weekly, to obtain more robust results. The empirical findings of the study show that increasing the number of stocks in the sample portfolio leads to decreasing standard deviation (unsystematic risk) the investment portfolio for Malaysia Stock Market stocks until each portfolio is well-diversified. The uniqueness in this study is that the empirical results show that, the level of data frequency significantly influences changes in stock portfolio size required to obtain optimal portfolio diversification.  Using the daily differencing interval, 45 stocks are need to eliminate unsystematic risk and using the weekly differencing interval, only 35 stocks are required to obtain a well-diversified portfolio.  

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