Testing of Performance: International Versus Domestic Portfolio
DOI:
Abstract Views:
272 times
PDF Downloads:
283 times
Abstract
This research investigates performance of portfolio with international portfolio and domestic portfolio. Buttler (2012) and Solnik (1974) explained that diversification of international portfolio will reduce risk of portfolio better than domestic portfolio. To measure performance of portfolio this research uses Treynor, Sharpe and Jensen Alpha. This research uses single index model to formed optimal international and domestic portfolio. Test showed that international portfolio have a better performance than domestic portfolio based on Treynor and Sharpe measurement. However, domestic portfolio have a better performance than international portfolio in higher return (Jensen measurement) and high risk.
Downloads
References
2. Buttler, Kirt.C. 2012. Multinational Finance : Evaluating Oppurtunities, Costs, and Risks of Operation. Fifth Edition. John Wiley & Sons, Inc. USA
3. Guesmi, Khaled., Teulon, Frederic. 2014. Equity Market Integration and Currency Risk : Empirical Evidence for Indonesia. Working Paper. IPAG Business School Paris
4. Hartono, Jogiyanto. 2008. Teori Portofolio dan Analisis Investasi , 5th ed. BPFE: Yogyakarta
5. Kang, Jun-koo; Stul, Rene M. Z. 1997. Why is there a home bias ? An analysis of foreign portfolio equity ownership in japan. Journal of Finance Economics 46 : 3-28
6. Levy, H., Sarnat, M., 1970. International diversification of investment portfolios. American Economic Review 60 : 668–675
7. Lind, Douglas A dkk,. 2015.Statistical Techniques in Business & Economics, 16th ed. McGraw-Hill : United States
8. Markowitz, H. M. 1952. Portfolio Selection. The Journal of Finance (1) : 77–91
9. Reilly, F.R. and Brown, K.C., 2012, 10th Ed, Analysis of Investment and Portfolio Management, Thomson South-Western , Canada
10. Sekaran, Uma., dan Bougie, Roger. 2013. Research Methods for Business : A Skill-Building Approach, 6th ed. John Wiley & Sons : Chicester, UK.
11. Septyarini.2012, Analisis Portofolio Optimal Berdasarkan Model Indeks Tunggal Pada Saham LQ-45. Universitas Gunadarma
12. Sharpe, W. F. 1964. Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. TheJournal of Finance 19(3), 425–442.
13. Solnik, Bruno H. 1974. Why not diversify Internationally rather than domestically?. Financial Analysts Journal: 48-54
14. Solnik, Bruno; Boucrelle, Cyril; and Fur, Yann Le. 1996. International Market Correlation and Volatility. Financial Analysts Journal, Iss: Sep/Oct pp. 17-34.
15. Solnik, Bruno. 2000. International Investment , 4th ed. Addison Wesley Longman, Inc: USA
16. Stulz, R.M., 1981a. On The Effects of Barriers to International Investment. Journal of Finance 36, 923-934.
17. Tandelilin, Eduardus. 2010. Portofolio dan Investasi : Teori dan Aplikasi, 1th ed. Kanisius : Yogyakarta
18. Treynor, J. L. 1962. Toward a Theory of Market Value of Risky Assets. Unpublished manuscript. “Rough Draft” dated by Mr. Treynor to the fall of 1962. A final version was published in 1999, in Asset Pricing and Portfolio Performance. Robert A. Korajczyk (editor) London: Risk Books, pp. 15–22
This work is licensed under a Creative Commons Attribution 4.0 International License.
The journal allow the authors to hold the copyright without restrictions and allow the authors to retain publishing rights without restrictions.
