Assessing Market Integration Between MINT and Developed Economies: Evidence from Dynamic Cointegration

Saif Siddiqui and Rajbeer Kaur

Business Perspectives and Research, 2025, vol. 13, issue 1, 145-162

Abstract: This study examines the static and time-varying cointegration between Mexico, Indonesia, Nigeria, and Turkey (MINT), and developed stock markets in USA and Japan by applying conventional cointegration methodology and rolling multivariate trace statistics over the period of 10 years. Overall, the findings of bivariate cointegration test suggested that MINT stock markets do not have significant long running relationship with Japan stock market. Hence, the scope of diversification exists accordingly. However, rolling trace statistics revealed the time-varying nature of integration between the markets considered in the study. The varying degree of cointegration is more likely to be caused by major economic, financial, and political events. Hence, the presence of equilibrium relationship among the markets in the sub-periods may limit the potential portfolio diversification benefits. Thus, lack of consistency in the findings of the static and dynamic cointegration analysis highlights the limitation of the static assessment. On the short-term linkage, the examination of dynamic conditional correlation (DCC) for each MINT-developed market pair suggested that Indonesia exhibits least correlation with USA and Japan and hence, offering highest portfolio avenues.

Keywords: DCC; dynamic cointegration; MINT; portfolio diversification (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:sae:busper:v:13:y:2025:i:1:p:145-162

DOI: 10.1177/22785337231156244

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