Detail Portfolio optimization, extreme value and efficiency in emerging equity market in Asia, Europe and Latin America Bibliografi Author: Haque, Mahfuzul ; Hassan, M. Kabir (Advisor) Topik: ECONOMICS; FINANCE|ECONOMICS; GENERAL Bahasa: (EN )    ISBN: 0-599-60215-5     Penerbit: UNIVERSITY OF NEW ORLEANS     Tahun Terbit: 1999     Jenis: Theses - Dissertation Fulltext: 9956052.pdf (0.0B; 0 download) Abstract This dissertation empirically investigates the inter-related issues in the emerging markets. The first issue, we examine is portfolio optimization in emerging stock markets using Mean-Variance theorem and Extreme Value theory. We compare the optimal portfolio selected under Safety First by using extreme value theory and the portfolio by the traditional M-V framework. We find that the optimal portfolios based on the Safety First criteria between CG and S&P, Asia and S&P differ from those of the M-V portfolios. The Safety First optimal portfolio for Asia and S&P combination shows no diversification benefit. For Latin America and S&P, both the criteria yield results consistent with that of Levy and Sarnat (1972). The second issue is an extensive empirical investigation on the stability, predictability, volatility, time varying risk premium and persistence of shocks to volatility in 32 emerging stock markets. We find 26 out of the 32 emerging markets have stable returns over time. On predictability, we employ two different tests to draw conclusion. The first test finds 22 of 32 emerging markets show no evidence of predictability, while the second test reject the random walk hypothesis for 16 emerging markets. Overall, the emerging markets are not predictable. On volatility, findings reveal that 26 of 32 emerging markets have volatility clustering, and 9 of 32 markets show positive and significant time varying risk premium. On persistence of shocks to volatility, we find that 5 markets have permanent shocks. Overall, the results fail to indicate time varying risk premium in 23 of 32 markets. The third issue deals with the gains obtained via diversification in a setting other than US. The broad ranges of institutional features that support business activities in the West are all absent in Bangladesh. Devoid of all the institutional facilities and features that the West offers in the corporate world, diversification may be the answer for growth and value creation in Bangladesh. We document that the Beximco Group has made significant progress towards the path of growth and value creation through diversification. This is consistent with the findings of Khanna and Palepu (1997) for emerging market economies in Chile and India. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

Copyright © 2006, 2007 Unika Atma Jaya, all rights reserved