Publication date: Available online 12 November 2019
Source: Finance Research Letters
Author(s): Seema Narayan, Mobeen Ur Rehman
Abstract
This study examines long- and short-run diversification gains for a portfolio comprising the developed (DJIA, S&P 500, and Nikkei 225) markets and emerging or frontier Asian markets. The study covers two periods: 2000-2013 and 2000-2018. This allows for a comparison of an investment made in the year 2000 and ended in either 2013 or 2018. Long- and short-term diversification gains are examined using different data frequencies to allow for the possibilities of portfolio rebalancing on a daily, weekly, or monthly basis. The study reveals differences in both long- and short-term diversification gains under these scenarios.