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The Persistency of International Diversification Benefits: The Role of the Asymmetry Volatility Model
This studyrestates the issue of international portfolio diversification benefits by consideringthe problem of perfect foresight assumption and constant variance-covariance estimation. Whilst emphasisingthe role oftheasymmetry volatility model in portfolio formation, we also investigate the economic implication of the smoothtransition exponential smoothing(STES) method inportfolio risk management. Our results suggest that all portfolios perform better in the ex-post periodcompared to the ex-ante period. However, investors may not be able to obtain any benefits from diversifying their portfolio indeveloped 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 diversifiedportfolio.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| AAMJAF 1001 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Malaysia: Universiti Sains Malaysia (USM) 2014 |
|---|---|
| Edisi | Vol. 10 No.1 2014 |
| Subjek | Smooth transition exponential smoothing (STES) Ex-post Ex-ante Asymmetry volatility model |
| ISBN/ISSN | 1823-4992 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 151 - 165 p. |
| Info Detail Spesifik | The Asian Academy of Management Journal of Accounting and Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |