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

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  • Bugár, Gyöngyi
  • Maurer, Raimond

Abstract

In this paper we study the benefits derived from international diversification of equity portfolios from the German and the Hungarian points 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 realise 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.

Suggested Citation

  • Bugár, Gyöngyi & Maurer, Raimond, 2002. "International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 171-197, May.
    • Handle: RePEc:cup:astinb:v:32:y:2002:i:01:p:171-197_01
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    Cited by:

    1. George Halkos & Argyro Zisiadou, 2021. "Can We Hedge an Investment Against A Potential Unexpected Environmental Disaster?," Economics of Disasters and Climate Change, Springer, vol. 5(3), pages 355-365, October.
    2. Liu, Xiaochun & Jacobsen, Brian, 2011. "The Dynamic International Optimal Hedge Ratio," MPRA Paper 35260, University Library of Munich, Germany.
    3. Alexandra HOROBET & Livia ILIE, 2009. "On The Exchange Rate Risk Contribution To The Performance Of International Investments: The Case Of Romania," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 3, pages 57-83, May.
    4. Bugár, Gyöngyi & Uzsoki, Máté, 2005. "Nemzetközi részvény befektetési lehetőségek Közép- és Kelet-Európa új európai uniós tagállamainak szemszögéből [Opportunities for investing in international stocks, seen from the viewpoint of the n," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 576-598.
    5. George Halkos & Argyro Zisiadou, 2020. "Is Investors’ Psychology Affected Due to a Potential Unexpected Environmental Disaster?," JRFM, MDPI, vol. 13(7), pages 1-24, July.

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