Portfolio diversification opportunities within emerging and frontier stock markets: evidence from ten Asian countries

Narayan, S and Rehmand, M 2018, 'Portfolio diversification opportunities within emerging and frontier stock markets: evidence from ten Asian countries', Bulletin of Monetary Economics and Banking, vol. 21, no. 1, pp. 1-21.


Document type: Journal Article
Collection: Journal Articles

Title Portfolio diversification opportunities within emerging and frontier stock markets: evidence from ten Asian countries
Author(s) Narayan, S
Rehmand, M
Year 2018
Journal name Bulletin of Monetary Economics and Banking
Volume number 21
Issue number 1
Start page 1
End page 21
Total pages 21
Publisher Bank Indonesia
Abstract In this paper, we take the case of Asian investors in any one out of ten Emerging and Frontier Asian (EFA) nations with an investment portfolio comprising of the MSCI of the home country, MSCIs of nine other Asian countries and stock market index of a developed nation. We examine their portfolio diversification opportunities for the period 2000 to 2013 after conditioning for oil price movements and global investor sentiments. Our empirical analyses imply significant opportunities to diversify within Asia. In particular, not all stock markets show a stable long run relationship. The unconditional correlations in the short run and conditioned regression linkages from VECMs are weak and mainly insignificant. Diversification opportunities for investors in some Asian nations improve after hedging for exchange rate movements. Further, we find that the portfolio examined here may lead to greater diversification gains than a portfolio without the nine other Asian countries.
Subject International Economics and International Finance
Keyword(s) Co-integration
VECM
emerging markets
Asia
DOI - identifier 10.21098/bemp.v21i1.893
Copyright notice © 2018 Open Access, Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
ISSN 1410-8046
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