The impact of international portfolio diversification in a fully funded pension system: the case of the malaysian employee provident fund

Lee, Yi Ying (2014) The impact of international portfolio diversification in a fully funded pension system: the case of the malaysian employee provident fund. Masters thesis, Universiti Malaysia Sabah.

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Abstract

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, modern 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.

Item Type:	Thesis (Masters)
Keyword:	International diversification, Risk-return performance, Pension fund, Modern portfolio theory, Financial market linkages
Subjects:	H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation
Department:	FACULTY > Faculty of Science and Natural Resources
Depositing User:	DG MASNIAH AHMAD -
Date Deposited:	08 Apr 2025 16:09
Last Modified:	08 Apr 2025 16:09
URI:	https://eprints.ums.edu.my/id/eprint/43406

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