Diversification into other emerging nations: evidence from India

Rakesh Gupta and Nupur Pavan Bang

International Journal of Business and Globalisation, 2015, vol. 15, issue 1, 1-19

Abstract: Market integration has been increasing over time. The benefits of international diversification are limited in an environment of markets moving together. In this study, we look at the diversification benefits to an Indian investor if they invest a part of their money into other emerging nations and the USA. Using the asymmetric dynamic conditional correlation GARCH model, to estimate time-varying correlations, we find that international diversification provides better risk adjusted returns to the investors. However, the use of conditional correlations does not give better results than the unconditional correlations.

Keywords: Indian investors; emerging markets; equities; time varying correlations; ADCC GARCH models; international diversification; India; market integration; USA; United States; risk adjusted returns; risk adjustment. (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=70220 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijbglo:v:15:y:2015:i:1:p:1-19

Access Statistics for this article

More articles in International Journal of Business and Globalisation from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().