International portfolio diversification: US and Central European equity markets |
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| Affiliation: | 1. King''s College, Wilkes-Barre, PA, USA;2. Saint Joseph''s University, Haub School of Business, Department of Finance, 5600 City Avenue, Philadelphia, PA 19131, USA;1. Systems Engineering, University of Virginia, Charlottesville, VA, USA;2. Jocassee Quantitative, New York, NY, USA;1. German Jordanian University, School of Management and Logistic Sciences, International Accounting Department, P.O. Box 35247, Amman 11180, Jordan;2. Institute for Global Enterprise, University of Evansville, Schroeder Family School of Business Administration, 1800 Lincoln Avenue, Evansville, IN 47722, United States;3. Gerald Schwartz School of Business, St. Francis Xavier University, Antigonish, Nova Scotia, Canada;4. Department of Finance, Koppelman School of Business, Brooklyn College, City University of New York (CUNY), 2900 Bedford Avenue, Brooklyn, NY 11230, United States |
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| Abstract: | This paper examines the short- and long-term relationships between the US stock market and three Central European markets. Low short-term correlations between these markets and the US are found. Application of the Johansen cointegration procedure indicates that there is no long-term relationship. The Granger-causality test does reveal a causality running from the Hungarian to the Polish market, but none with the US. Overall, the results suggest that US investors can obtain benefits from international diversification into these markets. |
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