 What is an Optimal Allocation in Hong Kong Stock, Real Estate, and Money Markets: An Individual Asset, Efficient Frontier Portfolios, or a Naïve Portfolio? Is This a New Financial Anomaly?Zhihui Lv, Chun-Kei Tsang, Niklas Wagner and Wing-Keung Wong Emerging Markets Finance and Trade, 2023, vol. 59, issue 5, 1554-1571 Abstract: To test for arbitrage opportunities and market efficiency in the Hong Kong money, stock, and real estate markets, we find that the money market stochastically dominates both the stock and real estate markets. Furthermore, the real estate market dominates the stock market, the money market dominates nearly all the efficient frontier portfolios, none of the efficient portfolios dominates the money market, and the money market also dominates the equal-weighting portfolio. This infers that in some cases investors could achieve higher expected ex-ante utility by investing in an individual asset rather than a portfolio. Our conclusions drawn from the pre-COVID-19 period are the same as those drawn from the entire period and the conclusions drawn from the COVID-19 period are the same as those drawn from the entire period except that the money market only stochastically dominates some of the efficient frontier portfolios. Our findings question diversification benefits in the Hong Kong capital market during our sample period, including both the pre-COVID-19 and COVID-19 periods. Date: 2023 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:59:y:2023:i:5:p:1554-1571 Ordering information: This journal article can be ordered from DOI: 10.1080/1540496X.2022.2136941 Access Statistics for this article More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals |
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