Dynamic condition correlation implication for international portfolio diversification : the case of German and French 1999-2008
Joint Authors
al-Zayyud, Husayn Ali
al-Hawary, Sulayman
Source
Al-Manarah For Research and Studies
Issue
Vol. 18, Issue 1 (29 Feb. 2012), pp.9-20, 12 p.
Publisher
Al al-Bayt University Deanship of Academic Research
Publication Date
2012-02-29
Country of Publication
Jordan
No. of Pages
12
Main Subjects
Topics
Abstract AR
تهدف هذه الدراسة أساسا لدراسة الارتباط الشرطي الديناميكي بين الأسواق المالية الألمانية و الفرنسية (DAX 30) و (40CAC ) من خلال تطبيق نموذج .(DCC) و قد بينت النتائج وجود ارتباط عال بين مؤشر كل DAX 30 و 40CAC و هذا قد يرجع إلى تثبيت أسعار الصرف بين أسواق الأوراق المالية الألمانية و الفرنسية في عام (1999) إضافة إلى الاتحاد النقدي بين هذه الدول و الذي أدى إلى زيادة التكامل الحقيقي بينهما، و هذا يتفق مع النتائج التي وجدها كل من (2002) and Bale، .Cappiello.et.al, (2003) كما أن استراتيجيات التنويع بين الأسواق المالية الألمانية و الفرنسية أصبحت أقل جاذبية بسب الارتباط العالي بينهما، و زاد الارتباط الشرطي بين مؤشرات الأسواق الألمانية و الفرنسية في منتصف فترة الدراسة.
Abstract EN
This study aimed mainly to examine the Dynamic conditional correlation between German and French stock markets.
This issue is carried out through Dynamic Conditional Correlation (DCC).
The empirical results showed that DAX30 and CAC40 are highly correlated and this may be due to fixing of the exchange rates between Germany and French stock markets in (1999) ; in addition to the monetary union has strengthened real integration among its members.
This confirms the results reported by Chappelle, et, al.
(2003) and Bale 2002.
So diversification strategies based on German and Frensh market are now less attractive.
We found that conditional correlation among DAX30 and CAC40 indexes have substantially increased in the mid-period of the study.
American Psychological Association (APA)
al-Zayyud, Husayn Ali& al-Hawary, Sulayman. 2012. Dynamic condition correlation implication for international portfolio diversification : the case of German and French 1999-2008. Al-Manarah For Research and Studies،Vol. 18, no. 1, pp.9-20.
https://search.emarefa.net/detail/BIM-315074
Modern Language Association (MLA)
al-Zayyud, Husayn Ali& al-Hawary, Sulayman. Dynamic condition correlation implication for international portfolio diversification : the case of German and French 1999-2008. Al-Manarah For Research and Studies Vol. 18, no. 1 (Feb. 2012), pp.9-20.
https://search.emarefa.net/detail/BIM-315074
American Medical Association (AMA)
al-Zayyud, Husayn Ali& al-Hawary, Sulayman. Dynamic condition correlation implication for international portfolio diversification : the case of German and French 1999-2008. Al-Manarah For Research and Studies. 2012. Vol. 18, no. 1, pp.9-20.
https://search.emarefa.net/detail/BIM-315074
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 18-20
Record ID
BIM-315074
