The performance of the optimal risky international portfolio in light of the financial crisis - an analytical study of a sample of international stock markets
Keywords:
Risky international portfolio, financial crisisAbstract
The economic globalization has positive and negative effects. The positive lies in the broad base of investment opportunities available to the local investor. The negativity comes from the fact that international markets are becoming more integrated, and this may reduce the feasibility of performing diversified portfolios internationally. The intellectual debate lies in the fundamental question of whether the performance of the international portfolios was affected by the financial crisis compared to what before and after. In fact, this cognitive problem has been and continues to be a very important debate at both the academic and practical levels. The study seeks to build the optimal international portfolio and to show how it is structured and different from the optimal local portfolio, and to determine the extent to which its performance was affected during the financial crisis as compared to what preceded it and beyond. And disclosure of whether the international diversification of the investment portfolio of dangerous best in the era of globalization is a useful tool that allows to build an optimal investment portfolio provides the best trade-off between risk and return. The study conducted a detailed analysis of the performance of the international optimal risk portfolio in the light of the financial crisis in the light of the data obtained for the sample of the study of indicators of the Iraqi and international stock markets. The latter was selected according to the FTSE rating for a sample of 53 international stock market indices, The Iraqi market for securities was included in the sample because the study is concerned with evaluating the performance of the diversified portfolio internationally from the perspective of the local Iraqi investor. The study period included (771) trading days for the sample studied as a whole, and started on (13/9/2006) until (26/05/2011). For the purpose of knowing the feasibility of the international diversification performance during the crisis compared to the previous period, the sampling period was divided into three periods, in equal terms, and for each period (257) days. Using many financial and statistical methods, the study reached a number of conclusions, the most important of which are:
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