Testing Of Performance: International Versus Domestic Portfolio

Njotosutikto, Christine Adi and Mahadwartha, Putu Anom (2020) Testing Of Performance: International Versus Domestic Portfolio. Journal of Entrepreneurship & Business (JEB), 1 (2). pp. 84-101. ISSN 2721-706X

PDF Putu Anom_TESTING OF PERFORMANCE INTERNATIONAL VERSUS DOMESTIC PORTFOLIO.pdf Download (6MB)

Abstract

This research investigates performance of portfolio with international portfolio and domestic portfolio. Buttler (2012) and Solnik (1974) explained that diversification of international portfolio will reduce risk of portfolio better than domestic portfolio. To measure performance of portfolio this research uses Treynor, Sharpe and Jensen Alpha. This research uses single index model to formed optimal international and domestic portfolio. Test showed that international portfolio has a better performance than domestic portfolio based on Treynor and Sharpe measurement. However, domestic portfolio has a better performance than international portfolio in higher return (Jensen measurement) and high risk. This research will support and contributes investor’s decision to invest on widely diverse portfolio rather than domestic portfolios. The research only uses single index model to form the portfolios and the other methods should discuss further in future research.

Item Type:	Article
Uncontrolled Keywords:	diversification of international portfolio, single index model, home bias
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:	Faculty of Business and Economic > Department of Management
Depositing User:	Ester Sri W. 196039
Date Deposited:	01 Nov 2022 04:24
Last Modified:	01 Nov 2022 04:24
URI:	http://repository.ubaya.ac.id/id/eprint/42828

Actions (login required)

View Item