Emerging Markets of South-East and Central Asia: Do They Still Offer a Diversification Benefit?
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The benefits to the domestic investor from diversifying internationally have been documented widely; see, for example, Grubel (1968), Levy and Sarnat (1970), Lessard (1973), Solnik (1974) and Solnik and Noetzlin (1982). A belief widely held by academics and practitioners is that a portfolio should be well diversified to maximise potential risk-adjusted performance.
KeywordsStock Market Sharpe Ratio Vector Error Correction Model Stock Market Return Cointegrating Vector
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