INTERNATIONAL EFFICIENT PORTFOLIO: THE PERFORMANCE OF SELECTED ASIAN EMERGING CAPITAL MARKETS BASED ON MARKOWITZ MODEL

Khalada, Khair Majumder (2013) INTERNATIONAL EFFICIENT PORTFOLIO: THE PERFORMANCE OF SELECTED ASIAN EMERGING CAPITAL MARKETS BASED ON MARKOWITZ MODEL. S2 thesis, UAJY.

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Abstract

The growth of emerging Asian capital markets has received much attention in the past few years. Investors have been attracted to the potential for high returns along with diversification benefits of these markets. The aim of this study is analyzing selected Asian emerging capital markets and making an international efficient portfolio based on Markowitz model. First step was an economic analysis of selected countries and then capital market analysis to choose profitable capital markets among them. After finding Indonesian and Malaysian capital market which wroth to invest in among all selected capital markets and portfolio was built with the securities of these two markets. The securities were selected which were always listed in most liquid capital market index LQ45 for Indonesia and KLSE30 for Malaysia. 15 securities from LQ45 and 13 securities from KLSE30 were elected to make a portfolio. Markowitz efficient portfolio principles doesn‘t suggest only one portfolio, it gives several efficient portfolio for investors to choose based on their risk tolerance. After finding efficient portfolio using INVEST software, an optimal portfolio were selected among all efficient portfolios.

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