The Comparisson of Benefit of International Diversification Among Seven Large Stocks in the Malaysian and Indonesian Stock Markets During January 2004 Until April 2010

Bai and Green (2010) argue that existing studies related to international diversification of portfolio mainly concentrated on the risk-returns tradeoffs from the developed markets perspective. Very few literatures available on the behavior on emerging markets, they are scarce in comparison to the developed market ones. This study tries to examine the benefit of international diversification toward the Indonesian and Malaysian markets; which to date there has not been many studies done toward these markets. As far as the previous empirical evidences show, these two markets yield benefits to the international investor's portfolio with the Indonesian or Malaysia market bear the greater yield. But how this finding couldn't be in our study? We must conduct the analysis procedure before make a final conclusion for supporting or rejecting the alternative hypothesis based on the previous empirical evidence by another researchers