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If you have any questions, you are always welcome to contact us. We'll get back to you as soon as possible, withing 24 hours on weekdays.
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Recent globalization and integration of capital markets made international diversification more difficult for many investors and caused correlations between the securities to increase, especially during the times of adverse economic conditions. This paper argues that markets, which have cointegrating relationship and follow common trend in a long time horizon, cannot contribute much to portfolio diversification. Therefore, investors, who are willing to invest for longterm, should rather choose cointegration analysis instead of usual correlation approach for portfolio diversification purposes because the former is more appropriate for longterm. Thus, this paper took a perspective of Lithuanian investor and conducted cointegration analysis with 8 other country equity indices over a period 20002011 in order to find out which markets Vilnius OMX is cointegrated with. This paper should be useful to investors who seek to diversify internationally and look for a longterm perspective, and who are willing to go beyond the conventional portfolio diversification methods.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer,
birth defects, or other reproductive harm.
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