Selection of stock markets: a factor analysis approach
AbstractThis study uses factor analysis to simplify the complex relationships among stock markets and to reduce the number of markets required for portfolio construction. Our sample consists of the US and 11 Asia-Pacific stock markets. We find that the reduced portfolio obtained from factor analysis has the same return per unit risk as that constructed with all 12 stock markets. Sub-periods, pre-crisis and post-crisis periods are also examined. Comparisons of optimal portfolios reveal that the exclusion of dividends understates the benefits of diversification and has an influence on optimum portfolio selection and country weights.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Applied Management Science.
Volume (Year): 2 (2010)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.inderscience.com/browse/index.php?journalID=286
international portfolio diversification; factor analysis; return per unit risk; optimal portfolios; dividends; stock markets; stock exchanges; USA; United States; Asia-Pacific; sub-periods; pre-crisis periods; post-crisis periods; portfolio selection; country weights; Australia; Hong Kong; Indonesia; Japan; Korea; New Zealand; Malaysia; Philippines; Singapore; Taiwan; Thailand; applied management science.;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Graham Langley).
If references are entirely missing, you can add them using this form.