Dopad změn korelací mezi regionálními akciovými trhy na diverzifikaci investičního portfolia

This thesis assesses how changes in correlations between regional stock markets affect the benefit of international portfolio diversification. Four regional ETFs are selected, representing the stock markets of the US, Europe, Japan, and China. At the same time, two crisis periods are chosen, the global financial crisis and the COVID-19 pandemic. The thesis is divided into 3 parts; the first part focuses on Markowitz's portfolio theory, the role of correlation in reducing risk, and the benefits and limitations of international diversification, including currency risk. The second part describes the data, the methodology for measuring rolling correlations, and the construction and evaluation of portfolios using the efficient frontier, a frozen-weights test, and the Sharpe ratio. The third part presents an empirical analysis of correlation development, a comparison of calm and crisis periods, and an assessment of the impact on diversification. The results show that correlations rose in both crises and the diversification benefit weakened, more markedly during the financial crisis than the pandemic, and that the minimum-variance portfolio, once its weights were carried into the crisis, was not reliably more resilient than an equally weighted allocation.