International portfolio strategies and opportunities: the case of the US, Japan and Asia

Seema Narayan, Mobeen Ur Rehman

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)

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 languageEnglish
Article number101358
Number of pages14
JournalFinance Research Letters
Volume37
DOIs
Publication statusPublished - Nov 2020
Externally publishedYes

Keywords

  • Asian emerging markets
  • Asian frontier markets
  • Developed markets
  • Global financial crisis
  • Investment strategies
  • Portfolio mix

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