The International Diversification Effect on Taiwanese Investors
碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 95 === This study examines whether domestic（Taiwan）investors can improve their investment opportunity sets by adding internationally diversified portfolio to a set of benchmark portfolios. Using the selected data from 2001-2006, we find that adding internationally...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/13531263687803857483 |
| Summary: | 碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 95 === This study examines whether domestic（Taiwan）investors can improve their investment opportunity sets by adding internationally diversified portfolio to a set of benchmark portfolios. Using the selected data from 2001-2006, we find that adding internationally diversified portfolios does lead to a statistically significant improvement of investment performance. The developed stock market portfolios are the main source of this augmentation of the mean-variance investment opportunity set. Bond indices portfolios are proved by our tests to effectively diversify the risk of investment portfolios. In addition, investors can improve their investment opportunity sets much more by adding developed market futures & option indices to a set of benchmark portfolios including emerging market assets than the one including developed market assets only. Finally, investors can further improve their investment opportunity sets by adding commodity indices portfolio to a set of benchmark portfolios including emerging market assets.
|
|---|