Diversification and intervalling effects on stock returns

Gordon Y N TANG*

*Corresponding author for this work

    Research output: Contribution to journalJournal articlepeer-review

    4 Citations (Scopus)


    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
    Issue number2
    Publication statusPublished - Oct 1992

    Scopus Subject Areas

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


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