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dc.contributor.authorGupta, Rakesh
dc.contributor.authorLin, S.
dc.date.accessioned2017-05-03T15:59:40Z
dc.date.available2017-05-03T15:59:40Z
dc.date.issued2013
dc.date.modified2014-08-28T05:04:31Z
dc.identifier.issn14502887
dc.identifier.urihttp://hdl.handle.net/10072/60045
dc.description.abstractInvestors can reduce their overall portfolio risk by diversifying into equities from other markets. Emerging markets have attracted significant interest because of their low correlations with the equity markets of the developed countries and with each other. Studies recently indicate that the correlations between equity returns of the developed markets with that of the emerging markets and between the emerging markets are increasing over time. Furthermore, research thus far has concentrated on looking at the benefits of diversifying into emerging markets from the perspective of an investor from the developed market. This paper contributes to the existing literature by using a multivariate GARCH model that allows correlations to change over time and incorporates asymmetrical effects. To overcome the problems of changes in correlations we use an Asymmetric DCC GARCH model to estimate time-varying correlations and include these correlation estimates in the portfolio optimization model. We look at the benefits of diversifying investments into emerging markets from the perspective of an investor in Taiwan to estimate the benefits of diversification by using the weekly returns for the period of June 1997 to May 2009. This study finds that, despite increasing correlations, there are still potential benefits for an investor from smaller emerging markets diversifying into international markets.
dc.description.publicationstatusYes
dc.format.extent342560 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherEuroJournals
dc.publisher.placeSeychelles
dc.publisher.urihttp://www.internationalresearchjournaloffinanceandeconomics.com/ISSUES/IRJFE_Issue_113.htm
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom54
dc.relation.ispartofpageto67
dc.relation.ispartofjournalInternational Research Journal of Finance and Economics
dc.relation.ispartofvolume113
dc.rights.retentionY
dc.subject.fieldofresearchInvestment and Risk Management
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150205
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1403
dc.subject.fieldofresearchcode1502
dc.titleInternational diversification a small equity market perspective
dc.typeJournal article
dc.type.descriptionC3 - Articles (Letter/ Note)
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.rights.copyright© 2013 EuroJournals Publishing, Inc. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
gro.date.issued2013
gro.hasfulltextFull Text
gro.griffith.authorGupta, Rakesh


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