Abstract

Starting in the 21^st century and the challenges of the global economy, investors need to take vigorous tactics to face the competition for globalization. Financial investment environment changes with each passing day, investors’ satisfaction are more and more discerning, and market demands can fluctuate unpredictably. While facing the constant changes of the global financial markets, it is important to know how to break through the current situation, maintain an advantage and continuously make a profit. Many investors have the pressure of competing to positively adapt, to form a competitive investment strategy, and to have a great project management strategy. The traditional business investment is not enough to deal with the issues regarding new and various economic challenges. This study will focus on answering the topic of this research: Reducing systematic risk through portfolio theory and macroeconomic model. This dissertation attempts to answer the main question and secondary issues and stays focus on the comparison of these industrial regions consisting of ten industrial regions comprised of two developed industrial regions (USA and Japan) and eight high-growth industrial regions (Four Asia Tigers and BRIC). Significantly, this research deals with quantitative and empirical analysis of the prominent features and the essential conditions for portfolio theory and macroeconomic model and to evaluate the relative strengths and weaknesses of twelve stock markets of the ten industrial regions by examining three hypotheses. The discussion of the invested systematic risk index among ten industrial regions is presented by measuring competitive comparison of the first hypotheses under the factor analysis through the use of the principle component method of factor analysis. Further, in terms of second hypothesis, measurement of the ten industrial regions competitive comparison was addressed by analyzing the macroeconomic indicators data under the rotated method (Varimax method). Lastly, in terms of assessing the first and second macroeconomic models (first hypothesis and second hypothesis), the measurement focused on the scenario analysis and empirical analysis through the use of the fluctuate percentage of stock price index and stock market capitalization of twelve stock markets from 2004 to 2008.

Key words: Portfolio theory (PT), systematic risk, macroeconomic model, factor analysis, capital asset pricing model (CAPM).