COMOVEMENTS AND STOCK MARKET INTEGRATION BETWEEN INDIA AND ITS TOP TRADING PARTNERS: A MULTIVARIATE ANALYSIS OF INTERNATIONAL PORTFOLIO DIVERSIFICATION

作者：Alan Harper, Zhenhu Jin · 年份：2011 · 被引用次数：8 · 研究领域：Market Dynamics and Volatility、Financial Markets and Investment Strategies、Monetary Policy and Economic Impact

It has been documented that strong (weak) comovements between stock markets provide less (more) diversification opportunities for investors. This study seeks to determine empirically if investors of Indian stock market can further diversify their portfolios by investing in the stock markets of India’s top trading partners.. This study uses data from India and its major trading partners to conduct principle component analysis. We find that India investors can further diversify their portfolios by investing in the stock markets of a few of its major trading partners.