Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices

Stocks market performance measurement has long been regarded as the most interesting part in investment. Many new methods emerge every year but most of these are rooted from Modern Portfolio theory by Harry Markowitz. In this research paper, we have used the efficient frontier from modern portfolio...

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Main Authors:	Noor Azlinna, Azizan, Sorooshian, Shahryar
Format:	Article
Language:	English
Published:	World Scientific and Engineering Academy and Society 2014
Subjects:	H Social Sciences (General)
Online Access:	http://umpir.ump.edu.my/id/eprint/7803/ http://umpir.ump.edu.my/id/eprint/7803/ http://umpir.ump.edu.my/id/eprint/7803/1/article.pdf

id	ump-7803
recordtype	eprints
spelling	ump-78032018-02-28T01:18:32Z http://umpir.ump.edu.my/id/eprint/7803/ Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices Noor Azlinna, Azizan Sorooshian, Shahryar H Social Sciences (General) Stocks market performance measurement has long been regarded as the most interesting part in investment. Many new methods emerge every year but most of these are rooted from Modern Portfolio theory by Harry Markowitz. In this research paper, we have used the efficient frontier from modern portfolio theory to determine the best stocks performance in KLCI index from 2006-2010. The data is compared to Sharpe performance measurement and we’ve discussed on how the best performers under efficient frontier do not agree with the result of best performers under Sharpe performance measurement. We have extended our study to look into Asian Indices include Japan, India and Hong Kong while setting the US market as our benchmark by using risk and return, together with coefficient of variance to rank the indices. We have also argued on the highest risky index. To complete the study, we’ve also used Johansen co-integration test to envisage the Asian indices market direction and economy influence. We have also discovered that most of the Asia markets co-integrate and follow Japanese market (N225) rather than the US market (S&P500). World Scientific and Engineering Academy and Society 2014 Article PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/7803/1/article.pdf Noor Azlinna, Azizan and Sorooshian, Shahryar (2014) Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices. WSEAS Transactions on Business and Economics , 11 (1). pp. 303-313. ISSN 1109-9526 http://www.wseas.org/multimedia/journals/economics/2014/a165707-248.pdf
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Malaysia Pahang
building	UMP Institutional Repository
collection	Online Access
language	English
topic	H Social Sciences (General)
spellingShingle	H Social Sciences (General) Noor Azlinna, Azizan Sorooshian, Shahryar Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices
description	Stocks market performance measurement has long been regarded as the most interesting part in investment. Many new methods emerge every year but most of these are rooted from Modern Portfolio theory by Harry Markowitz. In this research paper, we have used the efficient frontier from modern portfolio theory to determine the best stocks performance in KLCI index from 2006-2010. The data is compared to Sharpe performance measurement and we’ve discussed on how the best performers under efficient frontier do not agree with the result of best performers under Sharpe performance measurement. We have extended our study to look into Asian Indices include Japan, India and Hong Kong while setting the US market as our benchmark by using risk and return, together with coefficient of variance to rank the indices. We have also argued on the highest risky index. To complete the study, we’ve also used Johansen co-integration test to envisage the Asian indices market direction and economy influence. We have also discovered that most of the Asia markets co-integrate and follow Japanese market (N225) rather than the US market (S&P500).
format	Article
author	Noor Azlinna, Azizan Sorooshian, Shahryar
author_facet	Noor Azlinna, Azizan Sorooshian, Shahryar
author_sort	Noor Azlinna, Azizan
title	Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices
title_short	Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices
title_full	Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices
title_fullStr	Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices
title_full_unstemmed	Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices
title_sort	stock market performance and modern portfolio theory: case on malaysian stock market and asian indices
publisher	World Scientific and Engineering Academy and Society
publishDate	2014
url	http://umpir.ump.edu.my/id/eprint/7803/ http://umpir.ump.edu.my/id/eprint/7803/ http://umpir.ump.edu.my/id/eprint/7803/1/article.pdf
first_indexed	2023-09-18T22:04:48Z
last_indexed	2023-09-18T22:04:48Z
_version_	1777414636795068416

Stock Market Performance And Modern Portfolio Theory: Case On Malaysian Stock Market And Asian Indices

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