IDEAS home Printed from https://ideas.repec.org/a/sae/emffin/v11y2012i2p115-144.html
   My bibliography  Save this article

Time Diversification in Developed and Emerging Markets

Author

Listed:
  • Hamish D. Anderson

    (Hamish D. Anderson, School of Economics & Finance, College of Business, Massey University, New Zealand)

  • Christopher B. Malone

    (Christopher B. Malone, School of Economics & Finance, College of Business, Massey University)

  • Ben R. Marshall

    (Ben R. Marshall, School of Economics & Finance, College of Business, Massey University, New Zealand)

Abstract

Time in the market substantially reduces the risk of loss resulting from holding both stocks and bonds. By focusing on a downside VaR risk proxy in 25 emerging and 24 developed markets, we show that the downside risk of both stocks and bonds is greatly reduced as the investment horizon is increased beyond 10 years, but the risk reduction is more pronounced in stocks. We also show that emerging markets have substantially greater downside risk than developed markets. The results suggest that investors should be aware of their investment horizon when making asset allocation decisions, particularly into stocks in emerging markets. JEL Classification : G14, G15

Suggested Citation

  • Hamish D. Anderson & Christopher B. Malone & Ben R. Marshall, 2012. "Time Diversification in Developed and Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 11(2), pages 115-144, August.
    • Handle: RePEc:sae:emffin:v:11:y:2012:i:2:p:115-144
    DOI: 10.1177/0972652712454512
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/0972652712454512
    Download Restriction: no
    File URL: https://libkey.io/10.1177/0972652712454512?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Stocks; bonds; value at risk (VaR); investment horizon; time diversification; time in the market; emerging markets;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    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:sae:emffin:v:11:y:2012:i:2:p:115-144. 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: SAGE Publications (email available below). General contact details of provider: http://www.ifmr.ac.in .

    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.