Perspectives on international diversification for Belgian investors

Details

Supervisors

Devolder, Pierre

Faculty

Louvain School of Management

Degree label

Master [60] en sciences de gestion (horaire décalé)

Abstract

The digitalisation, the globalisation, and the democratisation of financial information are bringing more private investors to the stock markets, as well as offering new international investment opportunities. Moreover, global stock markets are becoming more and more correlated, raising new challenges for international diversification and advocating for more research in this field. By focussing on the Belgian stock market and using historical data over 30 years, this work shows that Belgian investors would have benefited from adding multiple international stock market indexes to their portfolios during the period from 2007 to 2012. Indeed, the addition of those international indexes enables to decrease the average volatility of the portfolios, while increasing their Sharpe ratios. However, this work also highlights the large standard deviations of the results, and some mitigated conclusions over other time periods.