Changes of Returns and Risks for the China-ASEAN Equity Portfolios before and after FACEC and Their Implications

Based on the Markowitz mean-variance model and the monthly data of China and 4 major stock markets in ASEAN for the period of 1998 to 2009, this paper explores the changes of portfolio returns and risks before and after China and ASEAN signed the Framework Agreement for Comprehensive Economic Co-operation (FACEC). Our findings reveal that portfolio returns were increased after FACEC and that Chinese investors could improve their investment performance through investing in ASEAN stock markets as compared with purely Chinese domestic portfolios.