EQUITY MARKET INTEGRATION AND DIVERSIFICATION: EVIDENCE FROM EMERGING AND DEVELOPED COUNTRIES

Hong Rim and Robert Setaputra

The International Journal of Business and Finance Research, 2020, vol. 14, issue 2, 51-59

Abstract: This study examined the role of the US market on the portfolio of emerging stock markets in Asia, Europe, and S. America from the foreign investors’ perspectives. The Lambda is used to separate impacts of exchange rates from stock returns in local currencies. Notable findings are as follows. First, there is no additional diversification gain for the portfolio of six emerging regional markets when the US market is added as a representative of developed markets. Second, there are some potential diversification benefits (lower risk) to be exploited in the portfolio of regional emerging markets if the US market is added: the US market seems to play an important role in reducing risk in the portfolio of regional emerging markets. The results could be of value to advance risk management for portfolio managers and individuals alike in emerging markets.

Keywords: Lambda; Integration; Diversification; Contagion; Emerging Markets; and Crisis (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v14n2-2020/IJBFR-V14N2-2020-4.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:14:y:2020:i:2:p:51-59

Access Statistics for this article

The International Journal of Business and Finance Research is currently edited by Terrance Jalbert

More articles in The International Journal of Business and Finance Research from The Institute for Business and Finance Research
Bibliographic data for series maintained by Mercedes Jalbert ( this e-mail address is bad, please contact ).