Correlation and portfolio diversification among South East Asia, emerging and developed countries

The specific objective of this paper is to generate and analyze the average correlation coefficient between Malaysian equity market and other selected countries equity markets during the period of 17 years from January 1987 to December 2003. The study employs Linear Regression Model to determine th...

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Main Authors:	Haron, Razali, Zainal Abidin, Sazali
Format:	Conference or Workshop Item
Language:	English
Published:	2008
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/10832/ http://irep.iium.edu.my/10832/ http://irep.iium.edu.my/10832/1/Correlation_and_portfolio_diversification_among_SEA_emerging_and_developed_countries.pdf

id	iium-10832
recordtype	eprints
spelling	iium-108322011-12-21T06:32:31Z http://irep.iium.edu.my/10832/ Correlation and portfolio diversification among South East Asia, emerging and developed countries Haron, Razali Zainal Abidin, Sazali HG4501 Stocks, investment, speculation The specific objective of this paper is to generate and analyze the average correlation coefficient between Malaysian equity market and other selected countries equity markets during the period of 17 years from January 1987 to December 2003. The study employs Linear Regression Model to determine the correlation coefficients between Malaysia and other countries. The period of 17 years is further divided into 13 different sub-periods divided by pre, during and post crisis in order to study the differences in pattern of average correlation coefficient during the sub-periods. The study found that average correlations increase during the non crisis periods as compared to crisis periods. The study also divided the group of countries according to developed countries and emerging countries to analyze the correlation coefficients between Malaysian market and markets of those groups of countries. Malaysian market is found to be more correlated with the emerging market than the developed market. The study also analyzes the evolution of correlation of Malaysian market and other countries over time. From an investment point of view of Malaysian investors,international portfolio diversification still offers diversification benefits due to instability in correlations over time. 2008-07-06 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/10832/1/Correlation_and_portfolio_diversification_among_SEA_emerging_and_developed_countries.pdf Haron, Razali and Zainal Abidin, Sazali (2008) Correlation and portfolio diversification among South East Asia, emerging and developed countries. In: 15th Annual Conference of the Multinational Finance Society, 6-8 July, 2008, Orlando, Florida, USA. http://www.mfsociety.org/
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Haron, Razali Zainal Abidin, Sazali Correlation and portfolio diversification among South East Asia, emerging and developed countries
description	The specific objective of this paper is to generate and analyze the average correlation coefficient between Malaysian equity market and other selected countries equity markets during the period of 17 years from January 1987 to December 2003. The study employs Linear Regression Model to determine the correlation coefficients between Malaysia and other countries. The period of 17 years is further divided into 13 different sub-periods divided by pre, during and post crisis in order to study the differences in pattern of average correlation coefficient during the sub-periods. The study found that average correlations increase during the non crisis periods as compared to crisis periods. The study also divided the group of countries according to developed countries and emerging countries to analyze the correlation coefficients between Malaysian market and markets of those groups of countries. Malaysian market is found to be more correlated with the emerging market than the developed market. The study also analyzes the evolution of correlation of Malaysian market and other countries over time. From an investment point of view of Malaysian investors,international portfolio diversification still offers diversification benefits due to instability in correlations over time.
format	Conference or Workshop Item
author	Haron, Razali Zainal Abidin, Sazali
author_facet	Haron, Razali Zainal Abidin, Sazali
author_sort	Haron, Razali
title	Correlation and portfolio diversification among South East Asia, emerging and developed countries
title_short	Correlation and portfolio diversification among South East Asia, emerging and developed countries
title_full	Correlation and portfolio diversification among South East Asia, emerging and developed countries
title_fullStr	Correlation and portfolio diversification among South East Asia, emerging and developed countries
title_full_unstemmed	Correlation and portfolio diversification among South East Asia, emerging and developed countries
title_sort	correlation and portfolio diversification among south east asia, emerging and developed countries
publishDate	2008
url	http://irep.iium.edu.my/10832/ http://irep.iium.edu.my/10832/ http://irep.iium.edu.my/10832/1/Correlation_and_portfolio_diversification_among_SEA_emerging_and_developed_countries.pdf
first_indexed	2023-09-18T20:20:12Z
last_indexed	2023-09-18T20:20:12Z
_version_	1777408055264149504

Correlation and portfolio diversification among South East Asia, emerging and developed countries

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