Συνολοκλήρωση και διαφοροποίηση χαρτοφυλακίου: μια εμπειρική μελέτη για τις χρηματιστηριακές αγορές του Ευρωπαϊκού Νότου

Abstract

Any investor who somehow participates in financial markets is exposed to financial risk. This is perfectly reasonable and expected, since there is no such thing as risk-free investment, which is not subject to uncertainty or randomness. Therefore, one of the key questions that a Financial Engineer is asked to answer is the search for risk management techniques. A Financial and Management Engineer have many approaches, but oneof the most appropriate and ”classical” techniques is portfolio diversification. In essence, by portfolio diversification we mean the creation of a portfolio oftitles where our capital has been divided (in a mathematically appropriate way) into many different titles so that we are as protected as possible against sudden and unpredictable price changes. A typical example of diversification is using bonds and equities, as when an economy is on the rise, bond yieldsusually tend to go down, while on the other hand, stock prices tend to go up. Another case of diversification, which is the subject of this work, is what we call international diversification. International diversification essentially proposes the creation of a portofolio that does not consist solely of domestic investment but international ones. For example, setting up a portfolio consisting of shares of companies based in different countries or continents. The reason behind this strategy is the intuitive observation that it is relatively rare for all stock markets to move in the same direction. Within the chronological order and financial econometrics, international diversification is directly related to the concept of integration. That is, the long-term common path between two or more financial variables. This issue (international diversification based on integration) is a topic that has been studied extensively in recent years. For example, if two stock markets move into a long-term equilibrium, then opportunities for effective diversification by building a portfolio of equities from those markets are reduced. Technically, the purpose of the present paper is to examine whether the European markets of the European South listening to the acronym PIGS (Portugal, Italy, Greece, Spain) have a cohesive relationship with the markets of tra- ditionally strong European economies (Germany, France). In this context, after examining the constituents of the respective chronological series (stock indices), we will carry out a Johansen integration check in order to consider any differentiation opportunities.