Journal of Industrial Convergence (산업융합연구)

DAEHAN Society of Industrial Management (대한산업경영학회)
권호 표지

An emmpirical test of the portfolio diversification effects (Evidence from KOSPI and KOSDAQ)

KOSPI와 KOSDAQ의 포트폴리오 분산효과 실증분석

  • 이용환 (금오공과대학교 산업경영학과) ;
  • 윤홍근 (금오공과대학교 산업경영학과) ;
  • 신주범 (금오공과대학교 산업경영학과)
  • Published : 2007.06.28
Download PDF
⟨ Previous Next ⟩

Abstract

This paper empirically examines the portfolio diversification effect using data from both KOSPI and KOSDAQ. In KOSPI market, portfolio diversification effect disappears when more than 18 stocks are added in the portfolio. About 63% of portfolio risk is eliminated. In KOSDAQ market, the maximum portfolio diversification effect is achieved when 17 stocks are at least included in a portfolio. The maximum cumulative risk reduction is 35%.

Keywords