financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2022-26-5-22-32finance-1802Research ArticleФИНАНСОВЫЙ МЕНЕДЖМЕНТFINANCIAL MANAGEMENTИсследование выгод от портфельной диверсификации с включением бумаг развитых, развивающихся и пороговых рынковExamining the Portfolio Diversification Benefits with Selected Developed, Emerging and Frontier Marketshttps://orcid.org/0000-0003-1308-009XПательР.PatelR.

Ритеш Патель —  профессор, доцент факультета экономики и финансов, Институт менеджмента

Ахмадабад —  382481, Гуджарат

Ritesh Patel —  Prof., Assist. Prof., Department of Economics and Finance, Institute of Management

Ahmedabad —  382481, Gujarat

ritesh@nirmauni.ac.inУниверситет НирмаИндияNirma UniversityIndia2022081120222652232Copyright © Патель Р., 20222022Патель Р.Patel R.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/1802

Интеграция финансовых рынков важна для инвесторов, чтобы иметь возможность диверсифицировать портфель своих инвестиций. Инвесторы осуществляют диверсификацию портфеля на рынке, где они могут получить более высокую доходность при меньшем риске.

Цель исследования —  проанализировать возможности диверсификации портфеля среди развитых, развивающихся и пороговых рынков Азии.

Автор применил такие методы, как корреляция, тест причинности Грейнджера, тест коинтеграции Йохансена, анализ диверсификации портфеля с использованием различных стратегий. Изучены возможности диверсификации портфеля путем сравнения недиверсифицированного портфеля (домашний рынок) с диверсифицированными портфелями (портфель с равным весом, портфель с минимальной дисперсией и портфель с максимальным коэффициентом Шарпа). Проанализирована прибыль от диверсификации портфеля для оценки ее преимуществ. Показано, что отсутствие интеграции между многими рынками доказывает существование возможности диверсификации портфеля. Уникальность исследования состоит в том, что в нем рассмотрены преимущества диверсификации портфеля для инвесторов на развитых, развивающихся и пороговых рынках, поскольку предыдущие исследования ограничивались только развитыми рынками.

Сделан вывод, что инвесторы могут получить более высокую доходность, более низкий риск и более высокий коэффициент Шарпа при диверсификации портфеля на международном рынке. В будущем исследователи могут изучить преимущества диверсификации портфеля на других пороговых и развивающихся рынках для инвесторов развитых рынков. 

The financial market integration is important for the investors to have the portfolio diversification of their investment. The investors do the portfolio diversification to the market where they can have higher return with lower risk.

The purpose of the paper is to analyse portfolio diversification opportunities among Asian Developed, Emerging and Frontier markets.

The study is performed using various methods such as Correlation, Granger causality test, Johansen cointegration test, Portfolio diversification analysis using various diversification strategies. The study examines portfolio diversification opportunities by comparing non-diversified portfolio (home market) with diversified portfolios (Equal Weighted Portfolio, Minimum Variance Portfolio and Maximum Sharpe Portfolio). The gain from the portfolio diversification was also analyzed to measure the benefits of the diversification. The study found that the lack of integration among many markets proves the existence of the portfolio diversification opportunity. Study is unique in a nature that it examines the portfolio diversification benefits for the investors in developed, emerging and frontier markets, as past studies were limited to developed markets only.

The study concluded that the investors can gain better return, lower risk and higher Sharpe with portfolio diversification in international market. The researchers can examine in future the portfolio diversification benefits with other frontier and emerging markets for the investors of the developed markets.

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The authors declare that there are no conflicts of interest present.