Please use this identifier to cite or link to this item: https://doi.org/10.1504/IJAMS.2010.031083
DC FieldValue
dc.titleSelection of stock markets: A factor analysis approach
dc.contributor.authorHui, T.K.
dc.contributor.authorTsui, K.C.
dc.contributor.authorChua, D.
dc.date.accessioned2013-10-09T03:23:50Z
dc.date.available2013-10-09T03:23:50Z
dc.date.issued2010
dc.identifier.citationHui, T.K.,Tsui, K.C.,Chua, D. (2010). Selection of stock markets: A factor analysis approach. International Journal of Applied Management Science 2 (2) : 136-151. ScholarBank@NUS Repository. <a href="https://doi.org/10.1504/IJAMS.2010.031083" target="_blank">https://doi.org/10.1504/IJAMS.2010.031083</a>
dc.identifier.issn17558913
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/43982
dc.description.abstractThis study uses factor analysis to simplify the complex relationships among stock markets and to reduce the number of markets required for portfolio construction. Our sample consists of the US and 11 Asia-Pacific stock markets. We find that the reduced portfolio obtained from factor analysis has the same return per unit risk as that constructed with all 12 stock markets. Sub-periods, pre-crisis and post-crisis periods are also examined. Comparisons of optimal portfolios reveal that the exclusion of dividends understates the benefits of diversification and has an influence on optimum portfolio selection and country weights. Copyright © 2010 Inderscience Enterprises Ltd.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1504/IJAMS.2010.031083
dc.sourceScopus
dc.subjectDividend
dc.subjectFactor analysis
dc.subjectInternational portfolio diversification
dc.subjectOptimal portfolios
dc.subjectReturn per unit risk
dc.typeArticle
dc.contributor.departmentDECISION SCIENCES
dc.description.doi10.1504/IJAMS.2010.031083
dc.description.sourcetitleInternational Journal of Applied Management Science
dc.description.volume2
dc.description.issue2
dc.description.page136-151
dc.identifier.isiutNOT_IN_WOS
Appears in Collections:Staff Publications

Show simple item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

7
checked on Dec 6, 2022

Page view(s)

203
checked on Dec 8, 2022

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.