Diversification and intervalling effects on stock returns

Gordon Y N TANG*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

Diversification and intervalling effects on stock markets have been studied separately in the literature. This paper studies empirically the interaction of these two joint effects on five international stock markets. The diversification benefits may depend on the length of the holding interval because the covariance between two stock indexes may not change proportionally with the individual stock indexes' variances when the holding interval varies. The empirical results show that the degree of diversification benefit varies with the length of the holding interval. The greatest gain occurs with the shortest holding interval while the degree of risk reduction decreases with an increase in the holding interval in general.

Original languageEnglish
Pages (from-to)231-241
Number of pages11
JournalAsia Pacific Journal of Management
Volume9
Issue number2
DOIs
Publication statusPublished - Oct 1992

Scopus Subject Areas

  • Business and International Management
  • Economics, Econometrics and Finance (miscellaneous)
  • Strategy and Management

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