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The benefits of diversification in ASEAN stock market to Malaysia investors


Goh, Q. R. and Md Nasir, Annuar and Mohd Ashhari, Zariyawati (2014) The benefits of diversification in ASEAN stock market to Malaysia investors. Asian Social Science, 10 (4). pp. 78-92. ISSN 1911-2017; ESSN: 1911-2025


The establishment of ASEAN Exchange had removed the barriers and hassles from investors in six ASEAN member countries to invest freely and easily within the six countries' stock market, including Malaysia. This study aimed to analyse whether the establishment of ASEAN Exchange, can provide diversification benefit to Malaysian investors compared with their domestically diversified portfolio. The analysis is done based on 25 companies which selected from each participating ASEAN country by using Efficient Frontier Model. In addition, Sharpe Ratio had also been developed and analysed to provide an insight to Malaysia and ASEAN investors regarding the attractiveness of each ASEAN market. The results of this study conclusively show that an ASEAN level of diversification does bring benefits to Malaysian investors, as ASEAN portfolio outperforms all individual country's portfolio.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
School of Graduate Studies
DOI Number: https://doi.org/10.5539/ass.v10n4p78
Publisher: Canadian Center of Science and Education
Keywords: ASEAN exchange; Diversification; Efficient frontier index; Sharpe ratio
Depositing User: Nurul Ainie Mokhtar
Date Deposited: 18 Jan 2016 04:00
Last Modified: 20 Oct 2017 09:01
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.5539/ass.v10n4p78
URI: http://psasir.upm.edu.my/id/eprint/35637
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