International portfolio diversification: A factor analysis approach

T-K Hui and Ek Kwan

Omega, 1994, vol. 22, issue 3, 263-267

Abstract: This paper investigates the systematic covariation in equity prices among US and Asia-Pacific countries during the 1980s by employing the statistical technique of factor analysis. Our results suggest that if US investors and portfolio managers were to select a large and well developed market for risk diversification, then USA, Taiwan and Japan would be appropriate. The final choice depends very much on the risk-return preference of individual investors.

Keywords: portfolio; selection; diversification; factor; analysis; factor; loading (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (5)

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