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[{"key": "dc.contributor.advisor", "value": "Heimonen, Kari", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Kontoniemi, Henri", "language": null, "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2017-06-27T06:01:52Z", "language": "", "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2017-06-27T06:01:52Z", "language": "", "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2017", "language": null, "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.other", "value": "oai:jykdok.linneanet.fi:1704522", "language": null, "element": "identifier", "qualifier": "other", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/54682", "language": "", "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "T\u00e4ss\u00e4 Pro Gradu \u2013tutkielmassa arvioidaan korrelaatiodynamiikkaa ja hajautushy\u00f6tyj\u00e4 G7 \u2013maiden ja valittujen kehittyvien markkinoiden valtioiden liikkeelle laskemien joukkovelkakirjojen v\u00e4lill\u00e4. Aineisto kattaa 14 joukkovelkakirjaindeksi\u00e4 tammikuusta 2001 joulukuuhun 2016. Korrelaatioestimoinnit tehd\u00e4\u00e4n Englen (2002) DCC-GARCH \u2013mallilla ja hajautushy\u00f6tyj\u00e4 arvioidaan taustatestaamalla historiallisia tuottosarjoja. Suoriutumista arvioidaan Sharpen suhdeluvulla kahdeksalle eri tavalla rakennetulle portfoliolle painotusmenetelm\u00e4n, eri omaisuusluokkiin hajauttamisen ja valuuttakurssimuutoksille altistumisen toimiessa muuttujina. Tulokset implikoivat ajassa muuttuvaa dynaamista korrelaatiota kehittyneiden ja kehittyvien maiden joukkovelkakirjojen tuottojen v\u00e4lill\u00e4, joskin pysyv\u00e4\u00e4 muutosta korrelaatiossa ei ole havaittavissa. Finanssikriisin seurauksena korrelaatio laskee v\u00e4liaikaisesti valuuttakurssimuutosten vuoksi. Analyysi eri joukkovelkakirjoihin hajauttamisen v\u00e4lill\u00e4 osoittaa suurempaa Sharpen suhdelukua kansainv\u00e4lisell\u00e4 hajauttamisella kehittyvien markkinoiden joukkovelkakirjoihin. Suurimmat hy\u00f6dyt olivat saatavilla jaksolla heti finanssikriisin j\u00e4lkeen. Yhdysvaltalaissijoittajan n\u00e4k\u00f6kulmasta valuuttakurssimuutoksilta suojautuminen ei osoittautunut kannattavaksi. Vuosittain tasapainotettu minimivarianssiportfolio ei kyennyt p\u00e4ihitt\u00e4m\u00e4\u00e4n passiivista portfoliota, jossa sijoitukset hajautettiin tasaisesti kaikkiin joukkovelkakirjoihin.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.abstract", "value": "This Master\u2019s Thesis investigates the correlation dynamics and the diversification benefits of G7 countries\u2019 and chosen emerging market countries\u2019 government bonds. The data set of 14 government bond indices used in the study covers the period from January 2001 to December 2016. The dynamic correlation estimates are conducted with DCC\u2013GARCH \u2013model introduced by Engle (2002) and the diversification benefits are estimated by backtesting on the historical return series. The performance is evaluated with Sharpe ratio on eight differently built portfolios, weighting strategy, asset allocation and currency exposure being the variables. The results show that there is time-varying dynamic conditional correlation between matured- and emerging market bond returns, while a persistent shift in correlation level is unobservable. The financial crisis causes a temporary plunge in the correlation level due to currency changes. The analysis on asset allocation implies that during this period the Sharpe ratio improved by international diversification to emerging bond markets. The highest benefits were achieved in the sub period following the financial crisis. For an U.S. based investor, hedging against currency exposure is not found beneficial. Passively managed portfolio with equal weights on all securities outperformed an annually rebalanced minimum variance portfolio.", "language": "en", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted using Plone Publishing form by Henri Kontoniemi (hetukont) on 2017-06-27 06:01:52.220131. Form: Pro gradu -lomake (https://kirjasto.jyu.fi/julkaisut/julkaisulomakkeet/pro-gradu-lomake). JyX data: [jyx_publishing-allowed (fi) =False]", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by jyx lomake-julkaisija (jyx-julkaisija.group@korppi.jyu.fi) on 2017-06-27T06:01:52Z\r\nNo. of bitstreams: 2\r\nURN:NBN:fi:jyu-201706273054.pdf: 958792 bytes, checksum: c63742675e690204a1673b6623d38976 (MD5)\r\nlicense.html: 1180 bytes, checksum: ed96df2f4f5a06f9b16dc9d23bfe668e (MD5)", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2017-06-27T06:01:52Z (GMT). No. of bitstreams: 2\r\nURN:NBN:fi:jyu-201706273054.pdf: 958792 bytes, checksum: c63742675e690204a1673b6623d38976 (MD5)\r\nlicense.html: 1180 bytes, checksum: ed96df2f4f5a06f9b16dc9d23bfe668e (MD5)\r\n Previous issue date: 2017", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "1 verkkoaineisto (51 sivua)", "language": null, "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "eng", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "government bonds", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "emerging markets", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "market correlation", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "DCC-GARCH", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "international diversification", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "Sharpe ratio", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "backtesting", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "Correlation dynamics of bond markets : effects on diversification benefits of emerging market government bonds", "language": null, "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.title.alternative", "value": "Effects on diversification benefits of emerging market government bonds", "language": null, "element": "title", "qualifier": "alternative", "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-201706273054", "language": null, "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Master\u2019s thesis", "language": "en", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Taloustieteet", "language": "fi", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Kansantaloustiede", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Economics", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.date.updated", "value": "2017-06-27T06:01:52Z", "language": "", 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Aineisto on luettavissa Jyv\u00e4skyl\u00e4n yliopiston kirjaston arkistoty\u00f6asemalta. Ks. https://kirjasto.jyu.fi/fi/tyoskentelytilat/laitteet-ja-tilat.", "language": "fi", "element": "rights", "qualifier": "accessrights", "schema": "dc"}, {"key": "dc.rights.accessrights", "value": "This material has a restricted access due to copyright reasons. It can be read at the workstation at Jyv\u00e4skyl\u00e4 University Library reserved for the use of archival materials: https://kirjasto.jyu.fi/en/workspaces/facilities.", "language": "en", "element": "rights", "qualifier": "accessrights", "schema": "dc"}, {"key": "dc.type.okm", "value": "G2", "language": null, "element": "type", "qualifier": "okm", "schema": "dc"}]
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