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Evaluation of the Added Value from Risk Diversification Through AEC Capital Market Integration using Stochastic Dominance

Author

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  • Aekkachai Nittayagasetwat

    (National Institute of Development Administration, Bangkok, Thailand,)

  • Jiroj Buranasir

    (Srinakharinwirot University, Bangkok, Thailand.)

Abstract

This research paper investigates the benefit of risk diversification under the increase in the integration of AEC countries' capital markets during 1999 and 2016. The evidences from the correlation and mean-variance analysis confirm the higher stock market integration. However, the empirical results from Stochastic Dominance technique show that the equally weighted portfolio built from combining the stock index portfolios of five AEC countries has lower ability to dominate stock index portfolio of each AEC country. In other words, the value from combining AEC countries' stock markets is decreasing

Suggested Citation

  • Aekkachai Nittayagasetwat & Jiroj Buranasir, 2017. "Evaluation of the Added Value from Risk Diversification Through AEC Capital Market Integration using Stochastic Dominance," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 562-567.
    • Handle: RePEc:eco:journ1:2017-02-75
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    References listed on IDEAS

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    5. Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
    6. Levy, Haim & Wiener, Zvi, 1998. "Stochastic Dominance and Prospect Dominance with Subjective Weighting Functions," Journal of Risk and Uncertainty, Springer, vol. 16(2), pages 147-163, May-June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Integration; Mean-variance Analysis; Stochastic Dominance;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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