The Dominant Country for Regional Portfolios: Evidence from Listed Companies in Southeast Asia’s Emerging Market

DOI

10.2991/icbmr-18.2019.7How to use a DOI?

Keywords

Fama-French Five Factor Model, emerging market, Southeast Asia, dominant country, regional portfolios

Abstract

This study investigates the Fama-French Five Factor Model as a base measurement tool to analyze the dominant country of regional portfolios formed in emerging markets in Southeast Asia. We use firms listed in Indonesia, Malaysia, Philippines, Thailand, and Vietnam stock exchange to form the regional portfolios. To test the Fama-French Five Factor Model, we use data from 2008 to 2017. The results show that the dominant country in each group of regional portfolios such as small-high (SH), small-low (SL), big-high (BH), big-low (BL), small-robust (SR), small-weak (SW), big-robust (BR), big-weak (BW), small-aggressive (SA), small-conservative (SC), big-aggressive (BA), and big-conservative (BC) varied by analyzing the ranking of each country in the regional portfolio formed based on market value per portfolio, percentage of contribution in sample, and total shares per portfolio. It shows the diversity of choices for investors in determining which emerging market to invest in Southeast Asia.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Nurita Anggraini
AU  - Zaafri Ananto Husodo
PY  - 2019/03
DA  - 2019/03
TI  - The Dominant Country for Regional Portfolios: Evidence from Listed Companies in Southeast Asia’s Emerging Market
BT  - Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)
PB  - Atlantis Press
SP  - 38
EP  - 43
SN  - 2352-5428
UR  - https://doi.org/10.2991/icbmr-18.2019.7
DO  - 10.2991/icbmr-18.2019.7
ID  - Anggraini2019/03
ER  -