Comparing the Benefits of International Diversification Using Industrial Correlation and Non-Systematic Risk

DOI

10.2991/aebmr.k.200626.059How to use a DOI?

Keywords

ASEAN Stock Market, International Diversification Benefit, Intra-Industry Correlation, GICS (Global Industry Classification Standard), Non-Systematic Risk

Abstract

Roll (1992) stated that the ASEAN capital market is still attractive for international diversification in various industries. To test the benefits of this international diversification, I used the industrial correlation between stock exchanges index and MSCI, and non-systematic risk measurement from Goeztmann, et. al. (2005). Based on the calculations that took into account the problem of the local and USD exchange rates, this study found out the results of calculation between ASEAN countries compared to each other, and from the results of data analysis, I found the smallest consumption goods industry in the Philippines. These results are followed by almost all the mainstay of portfolios for the Philippines in every GICS industry. A different pattern can be demonstrated by the steepest reduction in non-systematic risk in Indonesia during the 2008 global financial crisis. If it is presented using the data of 2006-2009, then perhaps the sharpest reduction in non-systematic risk is the Philippines.

Copyright

© 2020, 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/).

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TY  - CONF
AU  - Ignatius Roni Setyawan
PY  - 2020
DA  - 2020/06/29
TI  - Comparing the Benefits of International Diversification Using Industrial Correlation and Non-Systematic Risk
BT  - Proceedings of the 8th International Conference on Entrepreneurship and Business Management (ICEBM 2019) UNTAR
PB  - Atlantis Press
SP  - 346
EP  - 351
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200626.059
DO  - 10.2991/aebmr.k.200626.059
ID  - Setyawan2020
ER  -