International Diversification with frontier markets : Thailand Perspective
Post by MSF Chula at Tuesday, 8 August 2017 10:35 AM

This paper investigates financial integration of Thai stock market to developed markets and also
studies the feasibility to improve international portfolio performance of Thai investors by internationally
investing in frontier market. For the first objective, I employ principal component analysis to derive the
outcome, it suggest that Thai stock market is statistically integrated with global market over past 20 years.
While portfolio performance comparison indicate that frontier market index could improve portfolio
performance in term of risk adjusted return in period before subprime crisis during year 2008 to 2009 but
this benefit tend to disappear thereafter. Moreover, the result also reveals that both emerging and frontier
market are identical in term of capability to provide additional benefit to Thai investors.

Last updated at Tuesday, 8 August 2017 10:35 AM