International Portfolio Diversification : Reality or Myth

International Portfolio Diversification : Reality or Myth

This study is focused on performance comparison between Malaysian local, regional and global funds in its attempt to investigate whether international portfolio diversification by Malaysian unit trust companies provides better risk return trade-off relative to local portfolio diversification. A samp...

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Main Author: Fazli, Zainal Abidin
Format: Thesis
Language:eng
Published: 2009
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/3669/1/s93915.pdf
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id my-uum-etd.3669
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
advisor Ibrahim, Yusnidah
topic HG Finance
spellingShingle HG Finance
Fazli, Zainal Abidin
International Portfolio Diversification : Reality or Myth
description This study is focused on performance comparison between Malaysian local, regional and global funds in its attempt to investigate whether international portfolio diversification by Malaysian unit trust companies provides better risk return trade-off relative to local portfolio diversification. A sample of 83 funds managed by local fund management companies in Malaysia were selected in this research covering a period time span from 6 April 2007 to 10 April 2009. Analysis of independent sample t-test is used to test whether the risk adjusted returns of global or international funds, as measured by Treynor Index, Sharpe Index and Jensen Alpha, are higher relative to local and regional funds during the period of financial crisis and pre-crisis period. The results of the study show that during recession, global funds and regional funds outperformed domestic funds, meanwhile during normal or pre crisis period, domestic funds outperformed international funds.
format Thesis
qualification_name masters
qualification_level Master's degree
author Fazli, Zainal Abidin
author_facet Fazli, Zainal Abidin
author_sort Fazli, Zainal Abidin
title International Portfolio Diversification : Reality or Myth
title_short International Portfolio Diversification : Reality or Myth
title_full International Portfolio Diversification : Reality or Myth
title_fullStr International Portfolio Diversification : Reality or Myth
title_full_unstemmed International Portfolio Diversification : Reality or Myth
title_sort international portfolio diversification : reality or myth
granting_institution Universiti Utara Malaysia
granting_department College of Business (COB)
publishDate 2009
url https://etd.uum.edu.my/3669/1/s93915.pdf
_version_ 1783729369877839872
spelling my-uum-etd.36692023-11-26T02:08:19Z International Portfolio Diversification : Reality or Myth 2009 Fazli, Zainal Abidin Ibrahim, Yusnidah College of Business (COB) College of Business HG Finance This study is focused on performance comparison between Malaysian local, regional and global funds in its attempt to investigate whether international portfolio diversification by Malaysian unit trust companies provides better risk return trade-off relative to local portfolio diversification. A sample of 83 funds managed by local fund management companies in Malaysia were selected in this research covering a period time span from 6 April 2007 to 10 April 2009. Analysis of independent sample t-test is used to test whether the risk adjusted returns of global or international funds, as measured by Treynor Index, Sharpe Index and Jensen Alpha, are higher relative to local and regional funds during the period of financial crisis and pre-crisis period. The results of the study show that during recession, global funds and regional funds outperformed domestic funds, meanwhile during normal or pre crisis period, domestic funds outperformed international funds. 2009 Thesis https://etd.uum.edu.my/3669/ https://etd.uum.edu.my/3669/1/s93915.pdf text eng public http://lintas.uum.edu.my:8080/elmu/index.jsp?module=webopac-l&action=fullDisplayRetriever.jsp&szMaterialNo=0000336920 masters masters Universiti Utara Malaysia Annuar, M.N., Shamsher, M. and Ngu, M.H. (1997), Selectivity and timing: evidence from the performance of Malaysian unit trusts, Pertanika Journal of Social Science and Humanities, Vol. 5, pp. 45-57. Bodie, Kane and Marcus (2005) Investment, sixth edition. Mc Graw Hill, International Edition. Chua, C.P., (1985), The investment performance of unit trusts in Malaysia, unpublished MBA thesis Da Costa, Jr Newton, Silvia Nunes, Paulo Ceretta, and Sergio Da Silva, (2005) Stockmarket comovements revisited. 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