Liu, Ping (2001) Market thinness and the potential benefits of domestic-only portfolio diversification in Canadian equity markets. Masters thesis, Concordia University.
This study examines the benefits of diversification for stocks that are subject to varying degrees of market thinness for domestic-only investment in Canadian equities. The study also determines if the benefits of diversification are best examined using time-varying or static estimates of volatility. This thesis has four major findings. First, about 30 securities are required, on average, to obtain most of the risk-reduction (variance-reduction) benefits from diversification for all-domestic divrsification for Canadian equities. Second, the same level of diversification is achieved with less securities for the less stringent trading infrequency index. Third, both size and trading infrequency effects exist in the variances of the monthly returns and in the risk-adjusted performance ratios for the simulated portfolios. Fourth, the monthly total returns for the simulated portfolios do not exhibit heteroscedasticity based on the Portmanteau Q and Lagrange Multiplier tests for the time periods examined in this thesis. However, some evidence exists that thin trading induces some heteroscedasticity into the monthly returns of Canadian stocks.
|Divisions:||Concordia University > John Molson School of Business|
|Item Type:||Thesis (Masters)|
|Pagination:||viii, 104 leaves ; 29 cm.|
|Degree Name:||Theses (M.Sc.Admin.)|
|Program:||John Molson School of Business|
|Thesis Supervisor(s):||Kryzanowski, Lawrence D|
|Deposited By:||Concordia University Libraries|
|Deposited On:||27 Aug 2009 13:18|
|Last Modified:||08 Dec 2010 10:19|
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