International Stock Market Diversification among BRICS-P: A Cointegration Analysis

Imtiaz Arif, Ather Iqbal, Syed Farasat Ali, Amna Sohail
Additional contact information
Imtiaz Arif, Ather Iqbal, Syed Farasat Ali, Amna Sohail: Asst. Professor, Iqra University

Journal of Management Sciences, 2017, vol. 4, issue 2, 269-285

Abstract: This study explores the benefits associated with the international portfolio diversification among BRICS-P economies. The dynamics of the globe are changing, and the economic transformations have made the emerging economies a prominent center for investments. The possibility of international diversification among the BRICS-P economies may help the investors in maximizing their utilities by earning a higher return with a given level of risk. To assess the benefits of diversification and to explore the long-term and short-term dynamics of the selected stock markets, this study uses Auto Regressive Distributive Lag (ARDL) approach. The findings show that substantial portfolio diversification benefits exist when the funds of Brazil, Russia, South Africa and China are merged. The study also found that Pakistan and India's funds are co-integrated and that the prospect of diversification exists if the funds of these two economies are mixed. The results will help the investors in constructing their portfolios by merging the funds of the selected economies because having a diversified portfolio leads to better risk-return performance than having a portfolio with only native funds

Keywords: BRICS-P; international portfolio diversification; emerging economies; ARDL. (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://geistscience.com/JMS/Issue2-17/Article4/JMS1704208.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gei:journl:v:4:y:2017:i:2:p:269-285

Access Statistics for this article

Journal of Management Sciences is currently edited by Imtiaz ARIF

More articles in Journal of Management Sciences from Geist Science, Iqra University, Faculty of Business Administration
Bibliographic data for series maintained by Imtiaz ARIF ().