Diversification into other emerging nations: evidence from India

Gupta, R and Bang, N P (2015) Diversification into other emerging nations: evidence from India. International Journal of Business and Globalisation, 15 (01).

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Abstract

Market integration has been increasing over time. The benefits of international diversification are limited in an environment of markets moving together. In this study, we look at the diversification benefits to an Indian investor if they invest a part of their money into other emerging nations and the USA. Using the asymmetric dynamic conditional correlation GARCH model, to estimate time-varying correlations, we find that international diversification provides better risk adjusted returns to the investors. However, the use of conditional correlations does not give better results than the unconditional correlations.

Affiliation: Indian School of Business
ISB Creators:
ISB CreatorsORCiD
Bang, N PUNSPECIFIED
Item Type: Article
Uncontrolled Keywords: Indian investors, emerging markets, equities, time varying
Subjects: Business and Management
Depositing User: Veeramani R
Date Deposited: 07 Jul 2015 13:05
Last Modified: 01 Aug 2015 08:21
URI: http://eprints.exchange.isb.edu/id/eprint/438
Publisher URL: http://dx.doi.org/10.1504/IJBG.2015.070220
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