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 variance-covariance estimation. Whilst emphasising the role of the asymmetry volatility model in portfolio formation, we also investigate the econ...
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Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia
2014
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Online Access: | http://psasir.upm.edu.my/id/eprint/35767/1/The%20persistency%20of%20international%20diversification%20benefits%20the%20role%20of%20the%20asymmetry%20volatility%20model.pdf http://psasir.upm.edu.my/id/eprint/35767/ http://web.usm.my/journal/aamjaf/10-1-7-2014.html |
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my.upm.eprints.357672017-07-11T01:34:24Z http://psasir.upm.edu.my/id/eprint/35767/ The persistency of international diversification benefits: the role of the asymmetry volatility model Ung, Sze Nie Choo, Wei Chong Sambasivan, Murali Md Nassir, Annuar This study restates the issue of international portfolio diversification benefits by considering the problem of perfect foresight assumption and constant variance-covariance 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) and Penerbit Universiti Sains Malaysia 2014 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/35767/1/The%20persistency%20of%20international%20diversification%20benefits%20the%20role%20of%20the%20asymmetry%20volatility%20model.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. 151-165. ISSN 1823-4992; ESSN: 2180-4192 http://web.usm.my/journal/aamjaf/10-1-7-2014.html |
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This study restates the issue of international portfolio diversification benefits by considering the problem of perfect foresight assumption and constant variance-covariance 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. |
format |
Article |
author |
Ung, Sze Nie Choo, Wei Chong Sambasivan, Murali Md Nassir, Annuar |
spellingShingle |
Ung, Sze Nie Choo, Wei Chong Sambasivan, Murali Md Nassir, Annuar The persistency of international diversification benefits: the role of the asymmetry volatility model |
author_facet |
Ung, Sze Nie Choo, Wei Chong Sambasivan, Murali Md Nassir, Annuar |
author_sort |
Ung, Sze Nie |
title |
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_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_sort |
persistency of international diversification benefits: the role of the asymmetry volatility model |
publisher |
Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia |
publishDate |
2014 |
url |
http://psasir.upm.edu.my/id/eprint/35767/1/The%20persistency%20of%20international%20diversification%20benefits%20the%20role%20of%20the%20asymmetry%20volatility%20model.pdf http://psasir.upm.edu.my/id/eprint/35767/ http://web.usm.my/journal/aamjaf/10-1-7-2014.html |
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