The impact of international portfolio diversification in a fully funded pension system: the case of the Malaysian employee provident fund
Academics and practitioner have a common thought that an internationally diversified portfolio always offers promising risk-return performance. While handling a big pension fund, diversifying to maximize profit and minimize risk is a challenging issue. In recent four years, the main fully funded...
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2014
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| Online Access: | https://eprints.ums.edu.my/id/eprint/17518/1/The%20impact%20of%20international%20portfolio.pdf https://eprints.ums.edu.my/id/eprint/17518/ |
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my.ums.eprints.175182017-11-20T02:16:20Z https://eprints.ums.edu.my/id/eprint/17518/ The impact of international portfolio diversification in a fully funded pension system: the case of the Malaysian employee provident fund Lee, Yi Ying HD Industries. Land use. Labor Academics and practitioner have a common thought that an internationally diversified portfolio always offers promising risk-return performance. While handling a big pension fund, diversifying to maximize profit and minimize risk is a challenging issue. In recent four years, the main fully funded pension system in Malaysia has been adjusting or increasing the diversification portion in the international stock markets in recent four years. However, modem portfolio theory holds that linkages among financial markets may have significant effect on the benefits of international diversification. Relationship between financial markets may lead to significant differences in decision making by investors. Accordingly, in this study, we revisit the relationship between stock markets and its bearing on the international diversification benefits in the long-run and in the short-run by using nonlinear methods. Then, an empirical study had been carried out to verify the validity of the decision that increasing the diversification portion in international stock markets. Investment in long-run horizons may not be beneficial from a diversification perspective across highly cointegrated countries since the risk is considerably higher than investing in other unrelated countries. 2014 Thesis NonPeerReviewed text en https://eprints.ums.edu.my/id/eprint/17518/1/The%20impact%20of%20international%20portfolio.pdf Lee, Yi Ying (2014) The impact of international portfolio diversification in a fully funded pension system: the case of the Malaysian employee provident fund. Masters thesis, Universiti Malaysia Sabah. |
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Universiti Malaysia Sabah |
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Universiti Malaysia Sabah |
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http://eprints.ums.edu.my/ |
| language |
English |
| topic |
HD Industries. Land use. Labor |
| spellingShingle |
HD Industries. Land use. Labor Lee, Yi Ying The impact of international portfolio diversification in a fully funded pension system: the case of the Malaysian employee provident fund |
| description |
Academics and practitioner have a common thought that an internationally
diversified portfolio always offers promising risk-return performance. While handling
a big pension fund, diversifying to maximize profit and minimize risk is a
challenging issue. In recent four years, the main fully funded pension system in
Malaysia has been adjusting or increasing the diversification portion in the
international stock markets in recent four years. However, modem portfolio theory
holds that linkages among financial markets may have significant effect on the
benefits of international diversification. Relationship between financial markets may
lead to significant differences in decision making by investors. Accordingly, in this
study, we revisit the relationship between stock markets and its bearing on the
international diversification benefits in the long-run and in the short-run by using
nonlinear methods. Then, an empirical study had been carried out to verify the
validity of the decision that increasing the diversification portion in international
stock markets. Investment in long-run horizons may not be beneficial from a
diversification perspective across highly cointegrated countries since the risk is
considerably higher than investing in other unrelated countries. |
| format |
Thesis |
| author |
Lee, Yi Ying |
| author_facet |
Lee, Yi Ying |
| author_sort |
Lee, Yi Ying |
| title |
The impact of international portfolio
diversification in a fully funded
pension system: the case of the
Malaysian employee provident fund |
| title_short |
The impact of international portfolio
diversification in a fully funded
pension system: the case of the
Malaysian employee provident fund |
| title_full |
The impact of international portfolio
diversification in a fully funded
pension system: the case of the
Malaysian employee provident fund |
| title_fullStr |
The impact of international portfolio
diversification in a fully funded
pension system: the case of the
Malaysian employee provident fund |
| title_full_unstemmed |
The impact of international portfolio
diversification in a fully funded
pension system: the case of the
Malaysian employee provident fund |
| title_sort |
impact of international portfolio
diversification in a fully funded
pension system: the case of the
malaysian employee provident fund |
| publishDate |
2014 |
| url |
https://eprints.ums.edu.my/id/eprint/17518/1/The%20impact%20of%20international%20portfolio.pdf https://eprints.ums.edu.my/id/eprint/17518/ |
| _version_ |
1760229324811665408 |
| score |
13.211869 |