DIVERSIFICATION GAINS FOR A HOME BIASED TRADER IN THE EMERGING AND FRONTIER EQUITY MARKETS

Seema Wati Narayan (), Sivagowry Srianathakumar, Greeni Maheshwari and Mobeen Ur Rehman
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Seema Wati Narayan: Independent Researcher
Sivagowry Srianathakumar: Independent Researcher
Mobeen Ur Rehman: South Ural State University

Bulletin of Monetary Economics and Banking, 2021, vol. 24, issue 3, 385-414

Abstract: We study the case of a home-biased equity trader based in Asia, Central and Eastern Europe, the Middle East and North Africa, or Latin America, who is looking at diversifying his/her investment risks internationally within his/her region and three other emerging/frontier regions. We focus on explaining the dynamic conditional correlations between equity markets from 3 January 2002 to 11 November 2016. Timevarying opportunities for diversification are found in several nations across regions. However, diversification opportunities outside a region are largely reserved for bad times, such as during the global financial crisis and the European sovereign debt crisis.

Keywords: DCC-GARCH; Emerging and frontier markets; Financial crisis; European Sovereign debt crisis (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:24:y:2021:i:3d:p:385-414

DOI: 10.21098/bemp.v24i3.1702

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