Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)

The Dominant Country for Regional Portfolios: Evidence from Listed Companies in Southeast Asia’s Emerging Market

Authors
Nurita Anggraini, Zaafri Ananto Husodo
Corresponding Author
Nurita Anggraini
Available Online March 2019.
DOI
10.2991/icbmr-18.2019.7How to use a DOI?
Keywords
Fama-French Five Factor Model, emerging market, Southeast Asia, dominant country, regional portfolios
Abstract

This study investigates the Fama-French Five Factor Model as a base measurement tool to analyze the dominant country of regional portfolios formed in emerging markets in Southeast Asia. We use firms listed in Indonesia, Malaysia, Philippines, Thailand, and Vietnam stock exchange to form the regional portfolios. To test the Fama-French Five Factor Model, we use data from 2008 to 2017. The results show that the dominant country in each group of regional portfolios such as small-high (SH), small-low (SL), big-high (BH), big-low (BL), small-robust (SR), small-weak (SW), big-robust (BR), big-weak (BW), small-aggressive (SA), small-conservative (SC), big-aggressive (BA), and big-conservative (BC) varied by analyzing the ranking of each country in the regional portfolio formed based on market value per portfolio, percentage of contribution in sample, and total shares per portfolio. It shows the diversity of choices for investors in determining which emerging market to invest in Southeast Asia.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
March 2019
ISBN
10.2991/icbmr-18.2019.7
ISSN
2352-5428
DOI
10.2991/icbmr-18.2019.7How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Nurita Anggraini
AU  - Zaafri Ananto Husodo
PY  - 2019/03
DA  - 2019/03
TI  - The Dominant Country for Regional Portfolios: Evidence from Listed Companies in Southeast Asia’s Emerging Market
BT  - Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)
PB  - Atlantis Press
SP  - 38
EP  - 43
SN  - 2352-5428
UR  - https://doi.org/10.2991/icbmr-18.2019.7
DO  - 10.2991/icbmr-18.2019.7
ID  - Anggraini2019/03
ER  -