International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors

Gyöngyi Bugàr () and Raimond Maurer ()
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Gyöngyi Bugàr: Janus Pannonius University of Pécs, Faculty of Business and Economics, Postal: 7622 Pécs, Rákóczi út 80, Hungary

No 01-10, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

Abstract: In this paper we study the benefits derived from international diversification of stock portfolios from German and Hungarian point of view. In contrast to the German capital market, which is one of the largest in the world, the Hungarian Stock Exchange is an emerging market. The Hungarian stock market is highly volatile, high returns are often accompanied by extremely large risk. Therefore, there is a good potential for Hungarian investors to realize substantial benefits in terms of risk reduction by creating multi-currency portfolios. The paper gives evidence on the above mentioned benefits for both countries by examining the performance of several ex ante portfolio strategies. In order to control the currency risk, different types of hedging approaches are implemented

Pages: 27 pages
Date: 2001-02-27
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-ifn
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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Citations: View citations in EconPapers (6)

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