Estimation Risk Modeling in Optimal Portfolio Selection: An Empirical Study from Emerging Markets
Table 1
Descriptive Statistics of index returns. Three periods are explored, total period ranges from January 1995 to December 2008, the first subperiod ranges from January 1995 to December 2001, and the second subperiod ranges from January 2002 to December 2008. Numbers in parentheses are -statistics.
(a)
Country
Alpha
Beta
Total period
First subperiod
Second subperiod
Total period
First subperiod
Second subperiod
Turkey
Russian Federation
Hungary
Mexico
Brazil
China
South Africa
India
Poland
Indonesia
Columbia
Peru
Pakistan
Argentina
Chile
Malaysia
Taiwan
Philippines
Thailand
Country
F-Stat
Average return
Standard deviation
Total period
First subperiod
Second subperiod
Total period
First subperiod
Second subperiod
Total period
First subperiod
Second subperiod
Turkey
Russian Federation
Hungary
Mexico
Brazil
China
South Africa
India
Poland
Indonesia
Columbia
Peru
Pakistan
Argentina
Chile
Malaysia
Taiwan
Philippines
Thailand
, , and indicate significant at 10%, 5%, and 1%, respectively.