The Persistency Of International Diversification Benefits: The Role Of The Asymmetry Volatility Model
This study restates the issue of international portfolio diversification benefits by considering the problem of perfect foresight assumption and constant variancecovariance estimation. Whilst emphasising the role of the asymmetry volatility model in portfolio formation, we also investigate the eco...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2014
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| Subjects: | |
| Online Access: | http://eprints.usm.my/40020/1/AAMJAF_10-1-7-G1_%28151-165%29.pdf |
| _version_ | 1797010359058432000 |
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| author | Ung , Sze Nie Choo , Wei Chong Sambasivan, Murali Md. Nassir, Annuar |
| author_facet | Ung , Sze Nie Choo , Wei Chong Sambasivan, Murali Md. Nassir, Annuar |
| author_sort | Ung , Sze Nie |
| collection | USM |
| description | This study restates the issue of international portfolio diversification benefits by
considering the problem of perfect foresight assumption and constant variancecovariance estimation. Whilst emphasising the role of the asymmetry volatility model in
portfolio formation, we also investigate the economic implication of the smooth transition
exponential smoothing (STES) method in portfolio risk management. Our results suggest
that all portfolios perform better in the ex-post period compared to the ex-ante period.
However, investors may not be able to obtain any benefits from diversifying their
portfolio in developed stock markets in both ex-ante and ex-post periods. Further
investigation on the economic implications of the STES method also show that the STES
method does help to cushion losses generated from the international diversification
portfolio. Hence, this suggests the use of the STES method in computing and monitoring
the risk of an internationally diversified portfolio. |
| first_indexed | 2024-03-06T15:18:36Z |
| format | Article |
| id | usm.eprints-40020 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2024-03-06T15:18:36Z |
| publishDate | 2014 |
| publisher | Asian Academy of Management (AAM) |
| record_format | dspace |
| spelling | usm.eprints-400202018-04-11T03:47:53Z http://eprints.usm.my/40020/ The Persistency Of International Diversification Benefits: The Role Of The Asymmetry Volatility Model Ung , Sze Nie Choo , Wei Chong Sambasivan, Murali Md. Nassir, Annuar HD28-70 Management. Industrial Management This study restates the issue of international portfolio diversification benefits by considering the problem of perfect foresight assumption and constant variancecovariance estimation. Whilst emphasising the role of the asymmetry volatility model in portfolio formation, we also investigate the economic implication of the smooth transition exponential smoothing (STES) method in portfolio risk management. Our results suggest that all portfolios perform better in the ex-post period compared to the ex-ante period. However, investors may not be able to obtain any benefits from diversifying their portfolio in developed stock markets in both ex-ante and ex-post periods. Further investigation on the economic implications of the STES method also show that the STES method does help to cushion losses generated from the international diversification portfolio. Hence, this suggests the use of the STES method in computing and monitoring the risk of an internationally diversified portfolio. Asian Academy of Management (AAM) 2014 Article PeerReviewed application/pdf en http://eprints.usm.my/40020/1/AAMJAF_10-1-7-G1_%28151-165%29.pdf Ung , Sze Nie and Choo , Wei Chong and Sambasivan, Murali and Md. Nassir, Annuar (2014) The Persistency Of International Diversification Benefits: The Role Of The Asymmetry Volatility Model. Asian Academy of Management Journal of Accounting and Finance, 10 (1). pp. 1-15. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/10-1-7-2014.html |
| spellingShingle | HD28-70 Management. Industrial Management Ung , Sze Nie Choo , Wei Chong Sambasivan, Murali Md. Nassir, Annuar The Persistency Of International Diversification Benefits: The Role Of The Asymmetry Volatility Model |
| title | The Persistency Of International
Diversification Benefits:
The Role Of The Asymmetry Volatility Model |
| title_full | The Persistency Of International
Diversification Benefits:
The Role Of The Asymmetry Volatility Model |
| title_fullStr | The Persistency Of International
Diversification Benefits:
The Role Of The Asymmetry Volatility Model |
| title_full_unstemmed | The Persistency Of International
Diversification Benefits:
The Role Of The Asymmetry Volatility Model |
| title_short | The Persistency Of International
Diversification Benefits:
The Role Of The Asymmetry Volatility Model |
| title_sort | persistency of international diversification benefits the role of the asymmetry volatility model |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/40020/1/AAMJAF_10-1-7-G1_%28151-165%29.pdf |
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