Public Finance Quarterly Archive Articles

Time Varying Stock Market Integration and Diversification Opportunities within Emerging and Frontier Markets

13:56, június 06, 2020.
Sultan Salahuddin
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology, Karachi,
Pakistan

Muhammad Kashif
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology,
Karachi, Pakistan

Mobeen Ur Rehman
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology,
Islamabad, Pakistan

Published in: Public Finance Quarterly 2020/2. (p. 168-195.)



Summary: This study examines the time-varying feature of Emerging and Frontier stock markets to identify diversification opportunities. For this purpose, we sample 29 emerging and frontier countries ranging from 2000-2018 from America, Europe, Asia, Middle East, and Africa with each region consisting of a panel with one home country and other as remaining countries portfolio. Our results highlight few diversification opportunities in the post-crisis period for international investors in emerging and frontier stock markets as compared to the pre-crisis period. In the post-crisis period; Peru, Philippine, Jordan offer diversification opportunities for long run whereas Brazil, Mexico, Peru in emerging America, Philippine from Emerging Asia, Kazakhstan in frontier Europe, Kenya, Morocco in frontier Africa and Bahrain, Jordan from frontier Middle East offer short-run diversification opportunities for international investors.

Keywords: stock market integration, portfolio diversification, emerging markets, frontier markets, VECM

JEL codes: G01, G11, G15, F3, F21, F65

DOI: https://doi.org/10.35551/PFQ_2020_2_2



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