GAINS FROM INTERNATIONAL DIVERSIFICATION AND DOMESTIC PORTFOLIO IN EMERGING STOCKS MARKETS: PHILIPPINE AND INDONESIAN PERSPECTIVES
Keywords:
characteristics, multinational, performance, U.S.
Abstract
The study was organized into two major concerns: first, identifying the gains from international diversification in emerging stock markets from the Philippine and the Indonesian perspectives and determining which perspective yields the greater gains; and second, determining how many securities must be included to obtain an optimal investment portfolio from the Philippine and Indonesia perspectives.
The empirical results indicate that there are gains from international diversification, both from the Philippine and Indonesian perspectives, in two to eight emerging stock markets. Generally the gains are greater from the Indonesian perspective than the Philippine perspective in all country
combinations.
Further, this study found that the number of stocks needed to form an optimum domestic investment portfolio was bigger for the Indonesian investor‘s perspective (at 15 stocks) than for the Filipino investor (14).
References
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Filatov, V. S., and P. Rappoport. 1992. Is complete hedging optimal for international bond portfolios?. Financial Analysts Journal (July-August): 37-47.
Francis, J. C. 1991. Investment: Analysis and Management. 5th Ed, McGrow Hill Inc.: 204-251.
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Lamberte, M. B. 1994. Managing surges in capital inflows: the Philippine Case. Paper Presented in 19th Annual Conference of the Federation of Asean Economic Association and 32nd Annual Conference of the Philippine Economic Society, December 8-9, 1994 (unpublished).
Levy, H., and Z. Lerman. 1988. The benefits of international diversification in bonds. Financial Analysts Journal (September-October): 56-64.
Levy, H., and M. Sarnat. 1970. International diversification of investment portfolios. American Economic Review (LX) 4 (September): 668-675.
Madura, J., and L. Soenen. 1992. Benefits from international diversification: across time and country perspectives. Managerial Finance (19): 1-14.
Michaud, R. O., G. L. Bergstrom, R. D. Frashure, and B. K. Wolahan. 1996. Twenty year of international equity investing. The Journal of Portfolio Management (Fall): 9-22.
Odier, P., and B. Solnik. 1993. Lessons for international asset allocation. Financial Analysts Journal (March-April): 63-77.
Peavy, J. W. III, and Mary Jo Vaughn-Rauscher,. 1994. Risk management through diversification. TRUSTS & ESTATES (September): 42-46.
Pudjiastuti, E., and S. Husnan. 1994. Divesifikasi internasional: pengamatan terhadap beberapa bursa di Asia Pasifik. Kelola (5): 107-118.
Roll, R. 1995. An empirical survey of Indonesian equity 1985-1992. Pacific-Basin Finance Journal (3): 159-192.
Sharpe, W. F. 1995. Risk, market sensitivity, and diversification. Financial Analysts Journal (January-February): 84-88.
Solnik, B. 1995. Why not diversify internationally rather than domestically.? Financial Analysts Journal (January-February): 89-94.
Speidell, L. S., and R. Sappenfield. 1992. Global diversification in a shrinking world. The Journal of Portfolio Management (Fall): 57-67.
Ziobrowski, B. J., and A. J. Ziobrowski. 1995. Exchange rate risk and internationally diversified portfolio. Journal of International Money & Finance (14): 65-81.
Bart, J. 1992. International diversification: Part 1 - risk reduction & return enhancement. Canadian Shareowner 5: 10-11, 19.
Brainard, W. C., and J. Tobin. 1992. On the internationalization of portfolio. Oxford Economic Papers 44 (October): 533-565.
Cooley, P. L., 1996. Advances in Financial Management. The Dryden Press: 103 – 109.
Cosset, J. C., and J. M. Suret . 1995. Political risk and the benefits of international portfolio diversification. Journal of International Business Studies (Second Quarter) 26: 301-318.
Divecha, A. B., J. Drach, and D. Stefek. 1992. Emerging markets: A quantitative perspective. The Journal of Portfolio Management (Fall): 41-50.
Elton, E. J., and M. J. Gruber. 1995. Modern Portfolio Theory and Investment Analysis, 4th Edition, John Wiley & Sons.
Errunza, V. R. 1994. Emerging capital markets: Some new concepts. The Journal of Portfolio Management (Spring): 82-87.
Errunza, V. R., and P. Padmanabhan. 1988. Further evidence on the benefits of portfolio investment in emerging markets. Financial Analysts Journal (July-August): 76-78.
Eun, C. S., and B. G. Resnick. 1994. International diversification of investment portfolios: U.S. and Japanese perspective. Management Science (40) 1. January: 140-161.
Filatov, V. S., and P. Rappoport. 1992. Is complete hedging optimal for international bond portfolios?. Financial Analysts Journal (July-August): 37-47.
Francis, J. C. 1991. Investment: Analysis and Management. 5th Ed, McGrow Hill Inc.: 204-251.
French, K. R., and J. M. Poterba. 1991. Investor diversification and international equity markets. Behavioral Finance (81) 2 (May): 222-226.
Haavisto, T., and B. Hansson. 1992. Risk reduction by diversification in the Nordic Stock Markets. Scandinavian Journal of Economics (94): 581-588.
84
Iben, T., and R. Litterman. 1994. Have the benefits of international diversification diminished.? The Journal of Fixed Income (September): 27-34.
Lamberte, M. B. 1994. Managing surges in capital inflows: the Philippine Case. Paper Presented in 19th Annual Conference of the Federation of Asean Economic Association and 32nd Annual Conference of the Philippine Economic Society, December 8-9, 1994 (unpublished).
Levy, H., and Z. Lerman. 1988. The benefits of international diversification in bonds. Financial Analysts Journal (September-October): 56-64.
Levy, H., and M. Sarnat. 1970. International diversification of investment portfolios. American Economic Review (LX) 4 (September): 668-675.
Madura, J., and L. Soenen. 1992. Benefits from international diversification: across time and country perspectives. Managerial Finance (19): 1-14.
Michaud, R. O., G. L. Bergstrom, R. D. Frashure, and B. K. Wolahan. 1996. Twenty year of international equity investing. The Journal of Portfolio Management (Fall): 9-22.
Odier, P., and B. Solnik. 1993. Lessons for international asset allocation. Financial Analysts Journal (March-April): 63-77.
Peavy, J. W. III, and Mary Jo Vaughn-Rauscher,. 1994. Risk management through diversification. TRUSTS & ESTATES (September): 42-46.
Pudjiastuti, E., and S. Husnan. 1994. Divesifikasi internasional: pengamatan terhadap beberapa bursa di Asia Pasifik. Kelola (5): 107-118.
Roll, R. 1995. An empirical survey of Indonesian equity 1985-1992. Pacific-Basin Finance Journal (3): 159-192.
Sharpe, W. F. 1995. Risk, market sensitivity, and diversification. Financial Analysts Journal (January-February): 84-88.
Solnik, B. 1995. Why not diversify internationally rather than domestically.? Financial Analysts Journal (January-February): 89-94.
Speidell, L. S., and R. Sappenfield. 1992. Global diversification in a shrinking world. The Journal of Portfolio Management (Fall): 57-67.
Ziobrowski, B. J., and A. J. Ziobrowski. 1995. Exchange rate risk and internationally diversified portfolio. Journal of International Money & Finance (14): 65-81.
Published
2018-08-08
How to Cite
Tandelilin, E. (2018). GAINS FROM INTERNATIONAL DIVERSIFICATION AND DOMESTIC PORTFOLIO IN EMERGING STOCKS MARKETS: PHILIPPINE AND INDONESIAN PERSPECTIVES. Gadjah Mada International Journal of Business, 1(2), 63-84. Retrieved from https://dev.journal.ugm.ac.id/v3/gamaijb/article/view/13790
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Gadjah Mada International Journal of Business by Master of Business Administration, Faculty Economics and Business, Universitas Gadjah Mada is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
