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dc.contributor.authorGupta, Rakesh
dc.contributor.authorYang, Junhao
dc.contributor.authorJithendranathan, Thadavillil
dc.date.accessioned2017-09-14T04:55:18Z
dc.date.available2017-09-14T04:55:18Z
dc.date.issued2017
dc.identifier.issn0004-900X
dc.identifier.doi10.1111/1467-8454.12081
dc.identifier.urihttp://hdl.handle.net/10072/346477
dc.description.abstractOver the past two decades, a number of studies have examined the benefits of diversifying equity investments internationally, particularly into emerging markets. In the portfolio construction process, many researchers have criticised Markowitz's Portfolio Theory because of its inherent assumptions such as symmetric and constant correlations. In this study, we use a conditional copula model to estimate the time-varying asymmetric correlations of stock markets and construct optimal portfolios by using estimated correlations. We find that optimised portfolios provide significant benefits for both Australian and the US investors. Out-of-sample results show Copula model provides results closer to the in-sample-estimated benefits of diversification. The results have important implications for portfolio managers who seek to diversify into emerging markets.
dc.description.peerreviewedYes
dc.languageEnglish
dc.publisherWiley-Blackwell
dc.relation.ispartofpagefrom134
dc.relation.ispartofpageto162
dc.relation.ispartofissue2
dc.relation.ispartofjournalAustralian Economic Papers
dc.relation.ispartofvolume56
dc.subject.fieldofresearchEconomics not elsewhere classified
dc.subject.fieldofresearchEconomics
dc.subject.fieldofresearchCommerce, Management, Tourism and Services
dc.subject.fieldofresearchcode149999
dc.subject.fieldofresearchcode14
dc.subject.fieldofresearchcode15
dc.titleDiversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.hasfulltextNo Full Text
gro.griffith.authorGupta, Rakesh


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