IDEAS home Printed from https://ideas.repec.org/a/ids/gbusec/v19y2017i2p176-193.html
   My bibliography  Save this article

Portfolio diversification opportunities across stock markets of Asian tigers, Thailand and India: a vector autoregression approach

Author

Listed:
  • Shalini Talwar
  • Nupur Gupta-Bhattacharya

Abstract

This paper explores the possibility of the creation of a collective investment vehicle that replicates the equity indices of South Korea, Taiwan, Hong Kong, Singapore, Thailand and India. To begin with, a portfolio of these indices was created using the mean variance theory. Thereafter vector autoregression was applied to examine the dynamic linkages among these markets. Since the trading hours of these markets overlap and there is no a priori for specifying how shock transmits among them, Granger causality test was applied to ascertain which markets are influential to decide the ordering of the VAR approach. The results of variance decomposition show that the impact of these markets on each other is not much and is limited to a range of 5-6%. Impulse response graphs confirm no clear leading markets among the chosen six and the transmission of shock from one market to other disappears in 2-3 days.

Suggested Citation

  • Shalini Talwar & Nupur Gupta-Bhattacharya, 2017. "Portfolio diversification opportunities across stock markets of Asian tigers, Thailand and India: a vector autoregression approach," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 19(2), pages 176-193.
    • Handle: RePEc:ids:gbusec:v:19:y:2017:i:2:p:176-193
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=82585
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:gbusec:v:19:y:2017:i:2:p:176-193. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=168 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.