International Portfolio Diversification at Industry Level within South-East Asian Stock Markets

Document Type: Research Paper

Authors

Faculty of Economics and Management, Urmia University, Urmia, Iran

Abstract

The issue of financial integration, at the country level, is a well-documented phenomenon in the area of International Portfolio Diversification (IPD). Despite the increasing degree of financial integration, it is important to investigate the global integration at industry level to capture the potential benefits of IPD. Thus, this study attempts to evaluate the potential advantages of IPD for international investors when investing in emergingstock markets of South-East Asia, through examining the co-integration within these markets at industry level during 2000-2012. Using Multiple Fitness Functions Genetic Algorithm (MFFGA) and co-integration techniques, the results imply that South-East Asian emergingstock markets are not co-integrated at the industry level, and thus great diversification gains can still be achieved by cross-industry portfolio diversification in this region. However, another contribution of the study is that the findings explicitly identify the industries that are better suited for diversification purposes.

Keywords

Main Subjects


Article Title [Persian]

تنوع‌سازی پورتفوی بین‌المللی در سطح صنایع کشورهای جنوب‌شرق آسیا

Authors [Persian]

  • غلامرضا منصورفر
  • حمزه دیدار
  • سروین جودت نیا
گروه حسابداری و مالی، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه،
Abstract [Persian]

هم‌جمعی مالی در سطح کشورها موضوعی است که در حیطة تنوع‌سازی پورتفولیو بین‌المللی به خوبی بررسی شده است. البته، با وجود افزایش هم‌جمعی مالی، بررسی همبستگی جهانی در سطح صنایع برای دستیابی به منافع بالقوة تنوع‌سازی پورتفولیو بین‌المللی اهمیت دارد. بنابراین، این تحقیق به بررسی مزایای بالقوة تنوع‌سازی پورتفولیو بین‌المللی در سرمایه‌گذاران بین‌المللی هنگام سرمایه‌گذاری در بازارهای سرمایة نوظهور جنوب‌شرقی آسیا از طریق آزمون هم‌جمعی در سطح صنایع این بازارها طی سال‌های ۲۰۰۰ تا ۲۰۱۲ می‌پردازد. با استفاده از الگوریتم ژنتیک چند هدفه و تکنیک‌های هم‌جمعی نتایج نشان می‌دهد که بازارهای سرمایة نوظهور جنوب‌شرقی آسیا در سطح صنایع هم‌جمع نیست. بدین‌ترتیب، همچنان می‌توان منافع زیادی از طریق تنوع‌سازی پورتفولیو بین‌المللی در سطح صنایع این منطقه کسب کرد. از دیگر نتایج تحقیق این است که آن دسته از صنایع مناسب‌تر برای اهداف تنوع‌سازی، به‌صورت مجزا مشخص شده است.

Keywords [Persian]

  • بازارهای نوظهور
  • بهینه‌سازی
  • بین‌المللی
  • تنوع‌سازی پورتفوی
  • هم‌جمعی
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