| Author | Chattip Tippiriyapong |
| Note | A research study submitted in partial fulfillment of the requirements for the Degree of Master of Business Administration, School of Management |
| Publisher | Asian Institute of Technology |
| Abstract | The study attempts to investigate the relationships of the equity returns among the European, East Asian, and Southeast Asians markets. It was found that the correlation coefficient among European, East Asian, and South East Asia markets have changed over time. Secondly, the research reveals that the returns of markets within the same region were akin to each other. The correlation among the markets also increased within each group, thus reducing the benefits of diversifying for investors. Moreover, it is found that the developed financial markets have been less integrated with the developing financial market so it is attractive for investing in developing markets for a developed market investor as they can potentially reaps the benefit of international portfolio diversification. Moreover, the lowest correlation coefficients are correlated pair-wise of European and Malaysia or Taiwan markets. Therefore, it is concluded that if European investors that if they add KLSE or TWSE in their portfolio, they have potential to increase average return and minimize their risk. Lastly the lowest correlation coefficient was found between developing market of Thailand (SET 100) and Malaysia (KLSE). This information portrays that Thai investors are willing to diversify across Malaysia market in order to benefit from international portfolio diversification. |
| Year | 2011 |
| Type | Research Report |
| School | School of Management (SOM) |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Gopalaswamy, Arun Kumar |
| Examination Committee(s) | Winai Wongsurawat ;. Supasith Chonglerttham |
| Scholarship Donor(s) | The Royal Thai Government Fellowship |