Chinese equity market and the efficient frontier

Radu Tunaru, Frank Fabozzi and Tony Wu

Applied Financial Economics Letters, 2006, vol. 2, issue 2, pages 87-94

Abstract: This study documents how China's stock market is able to contribute differently and substantially to the diversification benefits of international investment portfolios. Moreover, allowing exposure to the stock market in China allows international investors to span combinations in the risk-return space that are otherwise unavailable by investing only in developed markets such as US, UK, German, and French stock markets. In addition, it is found that the efficient frontier is not sensitive to changes in parameters.

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