The Comparative Performance and Structural Stability of the Selected Asian Emerging Stock Markets

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Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Volume:4 Issue:2
The Comparative Performance and Structural Stability of the Selected Asian Emerging Stock Markets

The Comparative Performance and Structural Stability of the Selected Asian Emerging Stock Markets

Authors : Mt VAZIRI

Pages : 217-221

View : 16 | Download : 13

Publication Date : 2002-12-01

Article Type : Research Paper

Abstract :This study analyzes the comparative performance of the emerging markets of Pacific Basin markets with respect to U.S. stock market and estimates the diversification benefits to the American investors utilizing a recent sample from January 1994-Decemebr 1996. Particular attention is placed on the analysis of time-variant coefficients derived from a rolling regression model. The study concludes that the extent of the benefits of portfolio diversification of the U.S. investors into Pacific Basin markets depend on at least two important factors: (a): the reduction of the portfolio risk without changing its mean and (b): variance of foreign index and its correlation with the U.S. index. A limited liquidity and turnover taxes and other barriers to investors in the Pacific Basin Stock Markets could cause the observed returns to exceed the returns available to U.S. investors.
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