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  • Diversification into other emerging nations: Evidence from India

    Author(s)
    Gupta, R
    Bang, NP
    Griffith University Author(s)
    Gupta, Rakesh
    Year published
    2015
    Metadata
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    Abstract
    Market integration has been increasing over time. The benefits of international diversification are limited in an environment of markets moving together. In this study, we look at the diversification benefits to an Indian investor if they invest a part of their money into other emerging nations and the USA. Using the asymmetric dynamic conditional correlation GARCH model, to estimate time-varying correlations, we find that international diversification provides better risk adjusted returns to the investors. However, the use of conditional correlations does not give better results than the unconditional correlations.Market integration has been increasing over time. The benefits of international diversification are limited in an environment of markets moving together. In this study, we look at the diversification benefits to an Indian investor if they invest a part of their money into other emerging nations and the USA. Using the asymmetric dynamic conditional correlation GARCH model, to estimate time-varying correlations, we find that international diversification provides better risk adjusted returns to the investors. However, the use of conditional correlations does not give better results than the unconditional correlations.
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    Journal Title
    International Journal of Business and Globalisation
    Volume
    15
    Issue
    1
    DOI
    https://doi.org/10.1504/IJBG.2015.070220
    Subject
    Business systems in context not elsewhere classified
    Publication URI
    http://hdl.handle.net/10072/125288
    Collection
    • Journal articles

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