Portfolio Diversification in the Karachi Stock Exchange

Ahuja, Aakash

doi:10.22555/pjets.v1i1.139

Cited by 7 publications

(10 citation statements)

References 31 publications

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“…Alekneviciene et.al, (2012) found that in order to eliminate 98% of diversifiable risk, a naive portfolio with 22 stocks should be formed. Similar with other researches (Tang 2004;Ahuja 2011) using daily returns as the basis for calculating the standard deviation, their empirical results support the range of 20-30 stocks are enough to achieve well a diversified in portfolio.…”

Section: Empirical Results and Discussionsupporting

confidence: 82%

The Effect of Portfolio Diversification for the Bursa Malaysia

Norsiman¹,

Yakob²,

McGowan³

2019

AFR

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This paper examines the effect of portfolio diversification for stocks listed on the Malaysian stock exchange. We determine the extent to which the unsystematic risk component can be reduced through diversification posited by Modern Portfolio Theory. Prices of randomly selected stocks were obtained from Yahoo! Finance for the five year period starting from January 2010 to March 2014. In order to analyze the robustness of the empirical results, three sets of portfolios were tested in this study and each set contained 55 stocks. The total sample of 165 stocks was chosen from different sectors that are listed under Bursa Malaysia. In addition, the three samples were tested for two type of differencing intervals, daily and weekly, to obtain more robust results. The empirical findings of the study show that increasing the number of stocks in the sample portfolio leads to decreasing standard deviation (unsystematic risk) the investment portfolio for Malaysia Stock Market stocks until each portfolio is well-diversified. The uniqueness in this study is that the empirical results show that, the level of data frequency significantly influences changes in stock portfolio size required to obtain optimal portfolio diversification. Using the daily differencing interval, 45 stocks are need to eliminate unsystematic risk and using the weekly differencing interval, only 35 stocks are required to obtain a well-diversified portfolio.

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Section: Empirical Results and Discussionsupporting

confidence: 82%

The Effect of Portfolio Diversification for the Bursa Malaysia

Norsiman¹,

Yakob²,

McGowan³

2019

AFR

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“…In Pakistan the dividend payment are considered as one of the influential factor for investors as supported by the studies and results (Nazir et al, 2010;Hunjra et al, 2014). Another study conducted in context of Pakistan concluded that to form diversified portfolio 10 stocks should be selected (Ahuja, 2015). Therefore 10 stocks were selected for the construction of portfolio and for validity of higher co moment model with an additional and more acceptable risk measure of CVaR.…”

Section: Methodsmentioning

confidence: 99%

Asset Pricing With Higher Co-Moments and Cvar: Evidence From Pakistan Stock Exchange

Arif

Sohail²

2020

IJEFI

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The development of asset pricing model is attributed to Markowitz (1952) which initiated towards Modern Portfolio Theory (MPT). The whole concept of MPT based on normality of returns assumption but in emerging economies volatility of returns is an important issue and sometimes markets only behave in either bullish or bearish patterns. Moreover, the volatility cannot be attributed and explained by variance rather it can be a result of extreme events (profits / losses) referred to as none elliptical distributions of returns. The objective of this study is to incorporate additional dimensions of risk in Markowitz Mean-Variance framework through inclusions of skewness kurtosis and coherent risk measure CVaR to obtain optimal portfolio with PGP approach. The study analyzes the portfolio returns of Mean-Variance (MV), Mean Variance Skewness (MVS), Mean Variance Skewness Kurtosis (MVSK) and Mean CVaR Skewness Kurtosis (MCVaRSK) models by using selected stocks of KSE-100 index over the time period of 2009-2018. The empirical findings suggest that portfolio returns impacted through inclusion of higher moments and CVaR and generated higher returns over the benchmark portfolio. The results of study are immensely useful for the fund managers and investors for stocks selection and construction of alternative portfolios.

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“…Hal ini menunjukkan bahwa komposisi jumlah saham penyusun portofolio tersebut telah mencapai optimal. Pernyataan tersebut sesuai dengan hasil penelitian yang dilakukan oleh Suqaier & Ziyud, (2011) serta Ahuja (2011). Kedua penelitian ini menyatakan bahwa penambahan saham yang semakin banyak ke dalam portofolio dapat menurunkan risiko sampai dengan titik tertentu, jika portofolio tersebut ditambahkan dengan saham lagi, tidak diperoleh penurunan risiko yang berarti, karena jumlah saham yang menyusun portofolio telah mencapai optimal.…”

Section: Tyas Aurumaa S I Made Sudanaunclassified

Diversifikasi Investasi Saham: Perbandingan Risiko Total Portofolio Melalui Diversifikasi Domestik Dan Internasional

Sudana

2016

JMTT

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This study aims to obtain two empirical proofs, are about the difference of total portfolio risk between internationally diversification and domestically diversification, then, the influence of the number of shares in the portfolio toward the total risk of portfolio. The model analysis used in this study is the difference t test on average two independent sample groups and for effect estimation, using simple regression equation. There were 21 blue chips stocks( LQ45 Indonesia;DAX30 German;FTSE100 UK;DJA – USA) choosen randomly, and used as sampel for both of internationally diversification and domestically diversification within period beginning January until December 2011. The results show that there are a difference in the total risk of the portfolio which is generated through internationally diversification and domestically diversification .Total risk of portofolio internationally diversification is smaller than total risk of portfolio domestically diversification, and the number of shares in portfolio affect significant negative toward the total risk of portfolio.

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Portfolio Diversification in the Karachi Stock Exchange

Cited by 7 publications

References 31 publications

The Effect of Portfolio Diversification for the Bursa Malaysia

The Effect of Portfolio Diversification for the Bursa Malaysia

Asset Pricing With Higher Co-Moments and Cvar: Evidence From Pakistan Stock Exchange

Diversifikasi Investasi Saham: Perbandingan Risiko Total Portofolio Melalui Diversifikasi Domestik Dan Internasional

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