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International Aspects of Asset Diversification

Student: Pismerova Kseniya

Supervisor: Valeriya Vladimirovna Lakshina

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2019

This paper offers a theoretical study on the international theory of arbitrage pricing (IAPT) and an empirical study in the form of building a portfolio in accordance with the IAPT assumptions. Three global factors were selected for the study: the yield of the global market portfolio, changes in the price of crude oil and the TED spread. For the formation of portfolios 30 stocks quotes were selected from 6 countries: USA, Germany, Russia, China, India, Brazil. Companies were selected so that within one country the industries varied, yet the companies were the largest possible in terms of capitalization. One of the results of the study follows the assets showed the greatest sensitivity to the factor of the global market portfolio. The structure of the work is as follows. The first chapter of the work defines the essence of the theory of arbitration pricing (ART). The second chapter deals with generalizations of ART to the international theory of arbitration pricing. The third chapter is devoted to the empirical study of IAPT using the model of generalized orthogonal autoregressive conditional heteroscedasticity (GO-GARCH).

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