Scientific Beta

This study addresses the question of index quality in Asia by focusing on three aspects: efficiency, concentration and stability, reporting the results for 10 major Asian stock market indices over the past decade.

There has been increasing demand for equity indices in Asia. This is because global investors wish to benefit from the region’s growth, and consequently from its financial markets. As many US- and Europe-based investors do not have the expertise to conduct stock picking in Asia, equity investments are often passive for Asian-oriented portfolios. Therefore, the question of index quality in Asia is an important issue. This study addresses that question by focusing on three aspects: efficiency, concentration and stability, reporting the results for 10 major Asian stock market indices over the past decade.