Abstract
This study examines long- and short-run diversification gains for a portfolio comprising the developed (DJIA, S&P 500, and Nikkei 225) markets and emerging or frontier Asian markets. The study covers two periods: 2000–2013 and 2000–2018. This allows for a comparison of an investment made in the year 2000 and ended in either 2013 or 2018. Long- and short-term diversification gains are examined using different data frequencies to allow for the possibilities of portfolio rebalancing on a daily, weekly, or monthly basis. The study reveals differences in both long- and short-term diversification gains under these scenarios.
Original language | English |
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Article number | 101358 |
Number of pages | 14 |
Journal | Finance Research Letters |
Volume | 37 |
DOIs | |
Publication status | Published - Nov 2020 |
Externally published | Yes |
Keywords
- Asian emerging markets
- Asian frontier markets
- Developed markets
- Global financial crisis
- Investment strategies
- Portfolio mix