An empirical study of international portfolio diversification

2014 2nd International Conference on Business and Information Management (ICBIM) Pub Date : 2014-12-04 DOI:10.1109/ICBIM.2014.6970971

Banhi Guha, Avijan Dutta, Gautam Bandyopadhyay

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Abstract

Indian stock market has undergone a significant transformation after globalization. The most significant changes which has happened in the Indian stock Market that FII has been allowed to invest in the Indian market. Currently the extent of stock price volatility is being influenced by integration between the domestic and international capital markets as well as the regulatory framework governing the stock market. In India, now stock prices are being influenced by other international market. In this study an attempt has been made to find out the degree of association among the various markets. In a view to understand the integration of various indices a study was undertaken. In this study, month-wise closing prices of BSE-Sensex, NYSE, NASDAQ, S&P500, Hang Seng, Nikkei225, SSE Composite Index, FTSE100,IPC,BOVESPA,CAC 40,FTSE/JSE, DOW JONES, STI,DAX was selected. This article examines the return and degree of association of the various indices with help of statistics. Finally we find some evidence of association among the various stock markets and we applied Markowitz mean variance approach to determine optimal portfolio consisting of major market indices.

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国际投资组合多元化的实证研究

全球化之后，印度股票市场发生了重大转变。印度股市发生的最重大的变化是，FII被允许投资印度市场。目前，股票价格波动的程度受到国内外资本市场一体化以及股票市场监管框架的影响。在印度，现在的股票价格受到其他国际市场的影响。在这项研究中，试图找出不同市场之间的关联程度。为了了解各种指数的综合，进行了一项研究。本研究选取了BSE-Sensex、NYSE、NASDAQ、S&P500、Hang Seng、Nikkei225、SSE Composite Index、FTSE100、IPC、BOVESPA、CAC 40、FTSE/JSE、DOW JONES、STI、DAX的月度收盘价。本文运用统计学方法对各指标的收益率和关联度进行了检验。最后，我们找到了一些股票市场之间存在关联的证据，并应用马科维茨均值方差法确定了由主要市场指数组成的最优投资组合。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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2014 2nd International Conference on Business and Information Management (ICBIM)

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