International portfolio strategies and opportunities: The case of the US, Japan and Asia

Seema Narayan () and Mobeen Ur Rehman

Finance Research Letters, 2020, vol. 37, issue C

Abstract: This study examines long- and short-run diversification gains for a portfolio comprising the developed (DJIA, S&P 500, and Nikkei 225) markets and emerging or frontier Asian markets. The study covers two periods: 2000–2013 and 2000–2018. This allows for a comparison of an investment made in the year 2000 and ended in either 2013 or 2018. Long- and short-term diversification gains are examined using different data frequencies to allow for the possibilities of portfolio rebalancing on a daily, weekly, or monthly basis. The study reveals differences in both long- and short-term diversification gains under these scenarios.

Keywords: Asian emerging markets; Asian frontier markets; Developed markets; Portfolio mix; Investment strategies; Global financial crisis (search for similar items in EconPapers)
JEL-codes: F3 F65 G11 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318306500

DOI: 10.1016/j.frl.2019.101358

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