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dc.contributor.authorCha, Heung-Joo
dc.contributor.authorJithendranathan, Thadavillil
dc.contributor.editorBarry J Cooper and Ian Eggleton
dc.date.accessioned2017-05-03T15:59:35Z
dc.date.available2017-05-03T15:59:35Z
dc.date.issued2009
dc.date.modified2011-09-22T06:48:27Z
dc.identifier.issn1076-9307
dc.identifier.urihttp://hdl.handle.net/10072/40259
dc.description.abstractAustralian investors can reduce their overall portfolio risk by diversifying into equities from other markets. Emerging markets are of interest because of the low correlations with Australian equity market returns. However, several studies have indicated that correlations between equity returns are increasing over time, and using unconditional estimates of correlations in a portfolio optimisation model can result in less than optimal portfolio weights. We use an Asymmetric Dynamic Conditional Correlation GARCH model to estimate time-varying correlations and incorporate these correlation estimates into the portfolio optimisation model. The assets used for portfolio construction comprise seven emerging market indexes that are available for investment to foreign investors. The study finds that, despite increasing correlations, there are still potential benefits in international diversification into emerging markets for Australian investors.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent189913 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherAFAANZ
dc.publisher.placeSydney, Australia
dc.publisher.urihttps://www.afaanz.org/past-conferences
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofconferencename2008 AFAANZ / IAAER Conference
dc.relation.ispartofconferencetitleINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
dc.relation.ispartofdatefrom2008-07-06
dc.relation.ispartofdateto2008-07-08
dc.relation.ispartoflocationSydney, Australia
dc.relation.ispartofpagefrom172
dc.relation.ispartofpageto187
dc.relation.ispartofissue2
dc.relation.ispartofvolume14
dc.rights.retentionY
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchInvestment and risk management
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode350208
dc.titleTime-varying Correlations and Optimal Allocation in Emerging Market Equities for Australian Investors
dc.typeConference output
dc.type.descriptionE1 - Conferences
dc.type.codeE - Conference Publications
gro.rights.copyright© The Author(s) 2008. The attached file is reproduced here in accordance with the copyright policy of the publisher. For information about this conference please refer to the conference's website or contact the author.
gro.date.issued2008
gro.hasfulltextFull Text
gro.griffith.authorGupta, Rakesh


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    Contains papers delivered by Griffith authors at national and international conferences.

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