International Diversification Benefits In Asean Stock Markets: A Revisit

QR Code

International Diversification Benefits In Asean Stock Markets: A Revisit

With abounding evidence supporting the presence of non-linearity in stock returns series, coupled with theoretical and empirical works suggesting a potential loss in standard Johansen cointegration method if the underlying data generating process is non-linear in nature, this study re-examines the i...

Full description

Bibliographic Details
Main Authors:	Lim, Kian-Ping, Lee, Hock-Ann, Liew, Venus Khim-Sen
Format:	Working Paper
Language:	English
Published:	Universiti Putra Malaysia 2003
Subjects:	HB Economic Theory
Online Access:	http://ir.unimas.my/id/eprint/18634/ http://ir.unimas.my/id/eprint/18634/7/INTERNATIONAL%20DIVERSIFICATION%20BENEFITS%20%28abstract%29.pdf

Similar Items

Is There Any International Diversification Benefits in ASEAN Stock Markets?
by: Lim, Kian-Ping, et al.
Published: (2009)

Nonlinear mean reversion in stock prices: evidence from Asian markets
by: Lim, Kian-Ping, et al.
Published: (2007)

Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange
by: Lim, Kian-Ping, et al.
Published: (2003)

Statistical Inadequacy of GARCH Models for Asian Stock Markets: Evidence and Implications
by: Lim, Kian-Ping, et al.
Published: (2005)

The Linearity Property Of Asean-5 Real Exchange Rates In Pre-Asian Currency Crisis Period
by: Venus, Khim-Sen Liew, et al.
Published: (2004)

The benefits of diversification in ASEAN stock market to Malaysia investors
by: Goh, Q. R., et al.
Published: (2014)

On the forecastability of Asean-5 stock markets returns using time series models
by: Venus, Khim-Sen Liew, et al.
Published: (2003)

Exchange Rate And Trade Balance Relationship: The Experience Of Asean Countries
by: Liew, Venus Khim-Sen, et al.
Published: (2003)

Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets
by: Lim, Kian-Ping, et al.
Published: (2003)

The Validity of PPP Revisited: An Application of Non-linear Unit Root Test
by: Liew, Venus Khim-Sen
Published: (2003)

India-ASEAN-5 Economic Integration: Impact of Liberalization
by: Liew, Venus Khim-Sen, et al.
Published: (2007)

Episodic Non-Linearity And Non-Stationarity In Asean Exchange Rates Returns Series
by: Lim, Kian-Ping, et al.
Published: (2003)

Purchasing power parity in Asian economies: further evidence from rank tests for cointegration
by: Liew, Venus Khim-Sen, et al.
Published: (2009)

Predictability of ASEAN-5 Exchange Rates in the Post-Crisis Era
by: Liew, Venus Khim-Sen, et al.
Published: (2003)

Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets
by: Qiao, Zhuo, et al.
Published: (2010)

Is money neutral in stock market? The case of Malaysia
by: Puah, Chin-Hong, et al.
Published: (2010)

Potential diversification benefits across global Islamic equity markets
by: Abd. Majid, M. Shabri, et al.
Published: (2010)

BENEFITS OF INTERNATIONAL PORTFOLIO DIVERSIFICATION GIVEN INCREASINGLY INTEGRATED GLOBAL STOCK MARKETS
by: Osinowo, Adenike.A
Published: (2009)

Day-Of-The-Week Effects: Evidence From The Chinese Stock Markets
by: Chia, Ricky Chee-Jiun, et al.
Published: (2011)

Financial development and economic growth in Malaysia : the stock market perspective
by: Chee, Keong Choong, et al.
Published: (2005)

Nonlinear Adjustment towards Purchasing Power Parity in ASEAN Exchange Rates
by: Liew, Venus Khim-Sen, et al.
Published: (2004)

Income Divergence? Evidence of Non−linearity in the East Asian Economies
by: Khim−Sen Liew, Venus, et al.
Published: (2005)

Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange
by: Chia, Ricky Chee-Jiun, et al.
Published: (2010)

Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2008)

ASEAN-5 Exchange Rate Determination In The Presence Of Nonlinearity
by: Venus Liew, Khim Sen, et al.
Published: (2011)

On Singaporean Dollar-U.S. Dollar and Purchasing Power Parity
by: Liew, Venus Khim-Sen, et al.
Published: (2004)

Nonlinear Adjustment Of Real Exchange Rates Towards Purchasing Power Parity And The Asian Financial Crisis
by: Liew, Venus Khim-Sen, et al.
Published: (2005)

Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market
by: Liew, Khim Sen, et al.
Published: (2003)

The effect of Malaysia general election on stock market returns
by: Liew, Venus Khim-Sen, et al.
Published: (2016)

The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies
by: Liew, Venus Khim-Sen, et al.
Published: (2003)

Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen
by: Liew, Venus Khim-Sen
Published: (2009)

Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market
by: Lim, Kian Ping, et al.
Published: (2005)

The Predibility of Asean-5 Exchange Rates
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2000)

Benefits of International Diversification: The Case of Asian Emerging Equity Markets
by: Apong, Matusin
Published: (2005)

Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model
by: Zhuo, Qiao, et al.
Published: (2007)

Revisiting Purchasing Power Parity for Central Asian Countries Using Threshold Cointegration Tests
by: Lau, Evan, et al.
Published: (2010)

Nonlinear Adjustment of ASEAN−5 Real Exchange Rates: Symmetrical or Asymmetrical?
by: Liew, Venus Khim-Sen
Published: (2004)

The Real Interest Rate Differential : International Evidence Based On Non-Linear Unit Root Tests
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2009)

Market integration and international portfolio diversification from Malaysian perspective / Surianor Binti Kamaralzaman
by: Surianor, Kamaralzaman
Published: (2011)

Is money neutral in stock markets? the case of Malaysia.
by: Puah, Chin Hong, et al.
Published: (2010)