A Study of Financial Integration and Optimal Diversification Strategy in ASEAN Equity Markets

• 영문명: A Study of Financial Integration and Optimal Diversification Strategy in ASEAN Equity Markets
• 발행기관: 세종대학교 경제통합연구소
• 저자명: Peter Hwang Romora Edward Sitorus
• 간행물 정보: 『Journal of Economic Integration』제29권 제3호, 496~519쪽, 전체 24쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2014.09.30

영문 초록

This paper examines the country and industry effects on the cross-sectional variance of Firms`equity return in the Association of Southeast Asian Nations (ASEAN) member countries. Using the model developed by Heston and Rouwenhorst (1994), this article covers five ASEAN countries and ten industries. We find that pure country effects are, on average, more important than pure industry effects in explaining equity return variation of ASEAN firms. In terms of portfolio diversification strategies in ASEAN, our results show that country diversification is a more effective strategy for risk management than industry diversification. We also discuss the impacts of subprime mortgage crisis on ASEAN countries and industries.

목차

Ⅰ. Introduction

Ⅱ. Data Description

Ⅲ. Methodology

Ⅳ. Results

Ⅴ. Conclusions

키워드

Financial Integration Industrial Structure Emerging Markets Diversification