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| dc.contributor.advisor | Billio, Monica | it_IT |
| dc.contributor.author | Mazzucchi Zanon, Andrea <1992> | it_IT |
| dc.date.accessioned | 2017-10-09 | it_IT |
| dc.date.accessioned | 2018-04-17T13:36:33Z | |
| dc.date.available | 2018-04-17T13:36:33Z | |
| dc.date.issued | 2017-11-02 | it_IT |
| dc.identifier.uri | http://hdl.handle.net/10579/11726 | |
| dc.description.abstract | The aim of this work is to analyze the main equity markets (developed and emerging) to compute two financial integration measures: the standard correlation and R-square. After an analysis of these measures, the effects on the diversification of an international portfolio will be presented. | it_IT |
| dc.language.iso | en | it_IT |
| dc.publisher | Università Ca' Foscari Venezia | it_IT |
| dc.rights | © Andrea Mazzucchi Zanon, 2017 | it_IT |
| dc.title | Increasing correlation in equity markets and consequences on an international portfolio. | it_IT |
| dc.title.alternative | Increasing correlation in equity markets and consequences on an international portfolio | it_IT |
| dc.type | Master's Degree Thesis | it_IT |
| dc.degree.name | Economia e finanza - economics and finance | it_IT |
| dc.degree.level | Laurea magistrale | it_IT |
| dc.degree.grantor | Dipartimento di Economia | it_IT |
| dc.description.academicyear | 2016/2017, sessione autunnale | it_IT |
| dc.rights.accessrights | openAccess | it_IT |
| dc.thesis.matricno | 838668 | it_IT |
| dc.subject.miur | SECS-P/05 ECONOMETRIA | it_IT |
| dc.description.note | ABSTRACT This work analyzes an ample range of equity indexes in order to investigate how international financial integration has changed during the last two decades. To obtain a sample that represents a large number of countries are employed, respectively, fifteen and ten stock indexes of developed and emerging markets. The degree of financial integration over the time series is computed with three different measures: (i) dynamic standard correlation, (ii) standard correlation in different sub-periods and (iii) adjusted R squared. Efficient frontiers over different intervals are then employed to assess how movements in the correlation between equity returns has affected the degree of diversification of an international portfolio. In particular, the global minimum variance portfolio and the tangency portfolio are estimated to verify the change in the investment risk over the time series. | it_IT |
| dc.degree.discipline | it_IT | |
| dc.contributor.co-advisor | it_IT | |
| dc.date.embargoend | it_IT | |
| dc.provenance.upload | Andrea Mazzucchi Zanon (838668@stud.unive.it), 2017-10-09 | it_IT |
| dc.provenance.plagiarycheck | Monica Billio (billio@unive.it), 2017-10-23 | it_IT |
