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- W3194361763 abstract "At the present, the easiest way for investors in ASEAN countries to invest in ASEAN members’ equity markets is to invest in foreign investment funds. However, due to the coming ASEAN equity market liberalization in 2015, investors can invest more easily and inexpensively in individual stocks listed in each market through ASEAN Link. As a result, investors can diversify with more local choices directly. This study analyzes diversification benefits of directly choosing individual stock investments in the AEC rather than investment constraint in country funds as currently applies. Emerging market stock returns show skewness. Therefore we use portfolio optimization with skewness technique to analyze our data. It incorporates skewness in the optimization by employing the Polynomial Goal Programing (“PGP”). We distinguish investors who have utility functions of only mean-variance and mean-variance-skewness. Skewness matters significantly for selection of ASEAN stocks. Our study finds that there is a parameter instability problem in correlation structure, unlike the previous papers which report the estimated results only once, the rolling window method is used to mitigate the problem and the actual returns are presented. We perform both in-sample and out of sample analysis using a rolling window of 5 yeas analyzing data of 10 years. Our results show that the ability to invest directly in individual stocks will benefit ASEAN investors. A numbers of cross-broader investment are expected. Stocks of Malaysian market are perceived as a good investment choice for Sharpe-ratio-concerning investors, while Stocks of Indonesian market are for Skewness-coefficient-concerning investors." @default.
- W3194361763 created "2021-08-30" @default.
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- W3194361763 date "2016-02-01" @default.
- W3194361763 modified "2023-09-24" @default.
- W3194361763 title "Does AEC Help Diversification Among ASEAN Stock Market? Portfolio Optimization with Skewness" @default.
- W3194361763 hasPublicationYear "2016" @default.
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