| 要約: | Academics and practitioner have a common thought that an internationally
diversified portfolio always offers promising risk-return performance. While handling
a big pension fund, diversifying to maximize profit and minimize risk is a
challenging issue. In recent four years, the main fully funded pension system in
Malaysia has been adjusting or increasing the diversification portion in the
international stock markets in recent four years. However, modem portfolio theory
holds that linkages among financial markets may have significant effect on the
benefits of international diversification. Relationship between financial markets may
lead to significant differences in decision making by investors. Accordingly, in this
study, we revisit the relationship between stock markets and its bearing on the
international diversification benefits in the long-run and in the short-run by using
nonlinear methods. Then, an empirical study had been carried out to verify the
validity of the decision that increasing the diversification portion in international
stock markets. Investment in long-run horizons may not be beneficial from a
diversification perspective across highly cointegrated countries since the risk is
considerably higher than investing in other unrelated countries.
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