International portfolio diversification : a factor analysis approach
This study looks at international p01tfolio diversification of the Asia-Pacific, and is based on indices or averages of six stock exchanges - Australian Stock Exchange, Stock Exchange of Hong Kong, Toh.yro Stock Exchange, Kuala Lumpur Stock Exchange, Stock Exchange of Singapore, and New Yor...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/58573 |
| _version_ | 1811681751647387648 |
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| author | Khoo, Chio Giok Lim, Chin Chuan Sam, Kok Weng |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Khoo, Chio Giok Lim, Chin Chuan Sam, Kok Weng |
| author_sort | Khoo, Chio Giok |
| collection | NTU |
| description | This study looks at international p01tfolio diversification of the Asia-Pacific,
and is based on indices or averages of six stock exchanges - Australian Stock
Exchange, Stock Exchange of Hong Kong, Toh.yro Stock Exchange, Kuala
Lumpur Stock Exchange, Stock Exchange of Singapore, and New York Stock
Exchange.
The Australia All-Industries Index, the Hang Seng Index, the Nikkei Stock
Average (Nikkei-225), the Kuala Lumpur Composite Index, the SES AllSingapore
Share Index and the Dow Jones Industrial Average are used in the
statistical analysis, recognising the fact that stock indices and averages are
widely used to monitor performance of stock markets.
Factor Analysis is the main tool used to analyse the data. From here, two main
factors are identified from the exchange rate-adjusted rate of returns of indices
or averages. The fu·st factor relates to emerging markets and the second
pertains to established markets. Given the six markets chosen, an efficient
portfolio should consist of one emerging market (Singapore, Malaysia or Hong
Kong) and one established market being the New York stock market.
The results of the analysis support international portfolio diversification as a
means of reducing risk. The project also confums the presence of intertemporal
stability of the variables and this indicates the efficacy of factor
analysis as a guide to future international diversification decisions. The exact
portfolio to be undertaken by an investor is, however, dependent on his/her
risk-return preference. |
| first_indexed | 2024-10-01T03:45:56Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/58573 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:45:56Z |
| publishDate | 2014 |
| record_format | dspace |
| spelling | ntu-10356/585732023-05-19T06:09:00Z International portfolio diversification : a factor analysis approach Khoo, Chio Giok Lim, Chin Chuan Sam, Kok Weng Nanyang Business School Branson Kwok DRNTU::Business::Accounting This study looks at international p01tfolio diversification of the Asia-Pacific, and is based on indices or averages of six stock exchanges - Australian Stock Exchange, Stock Exchange of Hong Kong, Toh.yro Stock Exchange, Kuala Lumpur Stock Exchange, Stock Exchange of Singapore, and New York Stock Exchange. The Australia All-Industries Index, the Hang Seng Index, the Nikkei Stock Average (Nikkei-225), the Kuala Lumpur Composite Index, the SES AllSingapore Share Index and the Dow Jones Industrial Average are used in the statistical analysis, recognising the fact that stock indices and averages are widely used to monitor performance of stock markets. Factor Analysis is the main tool used to analyse the data. From here, two main factors are identified from the exchange rate-adjusted rate of returns of indices or averages. The fu·st factor relates to emerging markets and the second pertains to established markets. Given the six markets chosen, an efficient portfolio should consist of one emerging market (Singapore, Malaysia or Hong Kong) and one established market being the New York stock market. The results of the analysis support international portfolio diversification as a means of reducing risk. The project also confums the presence of intertemporal stability of the variables and this indicates the efficacy of factor analysis as a guide to future international diversification decisions. The exact portfolio to be undertaken by an investor is, however, dependent on his/her risk-return preference. ACCOUNTANCY 2014-04-08T04:50:52Z 2014-04-08T04:50:52Z 1995 1995 Final Year Project (FYP) http://hdl.handle.net/10356/58573 en Nanyang Technological University 112 p. application/pdf |
| spellingShingle | DRNTU::Business::Accounting Khoo, Chio Giok Lim, Chin Chuan Sam, Kok Weng International portfolio diversification : a factor analysis approach |
| title | International portfolio diversification : a factor analysis approach |
| title_full | International portfolio diversification : a factor analysis approach |
| title_fullStr | International portfolio diversification : a factor analysis approach |
| title_full_unstemmed | International portfolio diversification : a factor analysis approach |
| title_short | International portfolio diversification : a factor analysis approach |
| title_sort | international portfolio diversification a factor analysis approach |
| topic | DRNTU::Business::Accounting |
| url | http://hdl.handle.net/10356/58573 |
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