76
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

The cost of downside protection and the time diversification issue in South Asian stock markets

Pages 835-843 | Published online: 03 Jun 2008

References

  • Abeysekera , S . 2001 . Efficient markets hypothesis and the emerging capital market in Sri Lanka: evidence from the Colombo Stock Exchange . Journal of Business Finance and Accounting , 28 : 249
  • Asiamoney . September 2005 . Asia's investment failure September , London, , England 2005
  • Bodie , Z . 1995 . On the risk of stocks in the long run . Financial Analysts Journal , May, June : 18 – 22 .
  • Dhankar , R and Singh , R . 2005 . Arbitrate pricing theory and the capital asset pricing model – evidence from the Indian Stock Market . Journal of Financial Management and Analysis , 18 : 14
  • Efron , B . 1979 . Bootsrap methodology: another look at the Jacknife, Annals of Statistics Vol. 13 , 1 – 26 .
  • Gunasekarage , A and Power , D . 2001 . The profitability of moving average trading rules in South Asian stock markets . Emerging Markets Review , 2 : 17 – 33 .
  • Gunasekarage , A and Power , D . 2005 . Stock market overreaction: some evidence from the Colombo Stock Exchange . Journal of Emerging Markets , 10 : 5 – 17 .
  • Kadapakkam , P and Misra , L . 2003 . Return linkages between dual listings under arbitrage restrictions: a study of Indian stocks and their London globaldepositary receipts . The Financial Review , 38 : 611
  • Kassimatis , K . 2002 . Financial liberalization and stock market volatility in selected developing countries . Applied Financial Economics , 12 : 389
  • Krishnamurti , C and Kumar , P . 2002 . The initial listing performance of Indian IPOs . Managerial Finance , 28 : 39
  • Kritzman , M . 1994 . On time diversification . Financial Analysts Journal , January/February : 14 – 8 .
  • Madhusoodanan , T . 1997 . Time diversification: the Indian perspective . Journal of Financial Management and Analysis , 10 : 11
  • Malkiel , B . 1996 . A Random Walk Down Wall Street , New York : W. W. Norton & Co. .
  • Merrill , C and Thorley , S . 1996 . Time diversification: perspectives from option pricing Theory . Financial Analysts Journal , May, June : 13 – 9 .
  • Merton , RC and Samuelson , P . 1974 . Fallacy of the log-normal approximation to portfolio decision-making over many periods . Journal of Financial Economics , May : 67 – 94 .
  • Narayan , P , Smyth , R and Nandha , M . 2004 . Independence and dynamic linkages between the emerging stock markets of South Asia . Accounting and Finance , 44 : 419 – 39 .
  • Poshakwal , S . 2002 . The random walk hypothesis in the emerging Indian stock market . Journal of Business Finance and Accounting , 29 : 1275
  • Olsen , R and Khaki , M . 1998 . Risk, rationality and time diversification . Financial Analysts Journal , Sept/Oct : 59 – 62 .
  • Samarakoon , L . 1996 . Predictability of Short Horizon returns in the Sri Lankan stock market . Sri Lankan Journal of Management , 1 : 207 – 24 .
  • Samuelson , P . 1963 . Risk and uncertainty: a fallacy of large numbers . Scientia , 98 : 108 – 13 .
  • Samuelson , P . 1969 . Life time portfolio selection by dynamic stochastic programming . Review of Economic Statistics , August : 239 – 46 .
  • Uppal , J . 1998 . Stock return volatility in an emerging market: a case study of the Karachi Stock Exchange . Managerial Finance , 24 : 34
  • Zou , L . 1997 . Investments with downside insurance and the issue of time diversification . Financial Analysts Journal , July/August : 73 – 9 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.