Relationship between Major Developed Equity Markets and Major Frontier Equity Markets of World

Muhammad Mansoor Baig (), Muhammad Bilal () and Waheed Aslam ()
Additional contact information
Muhammad Mansoor Baig: University of Sargodha
Muhammad Bilal: University of Sargodha
Waheed Aslam: University of Sargodha

Acta Universitatis Danubius. OEconomica, 2016, issue 12(1), 182-196

Abstract: The core aim of this study is to compute the long run relationship between frontier equity markets Pakistan (KSE 100 Index), Argentina (MERVAL BUENOS AIRES) stock Exchange, NSE.20 (Kenya), MSM 30 (MSI) Oman and equity markets of developed world (OMXS30) Sweden, SMI (Switzerland), SSE Composite Index (China) and STI index (Singapore) by taking weekly values from stock return prices for the period 1st week of January-2000 to last week of January/2014. Descriptive statistic, Correlation, Augmented dickey fuller (ADF), Phillips Perron test, Johanson and Jelseluis test of co-integration, Granger causality test, Variance Decomposition Test and Impulse Response are used to find the relationship among frontier and developed markets. The results of this study reveal that frontier markets have no long run relationship with equity markets of developed world. Furthermore, this study is helpful for investors to enhance the returns by diversifying the unsystematic risk at given level of profit because results of this study confirm that markets are no cointegrated.

Keywords: Diversification; portfolio; frontier markets; unit root test; Co-integration test (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://journals.univ-danubius.ro/index.php/oeconomica/article/view/3063/3107 (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:dug:actaec:y:2016:i:1:p:182-196

Access Statistics for this article

More articles in Acta Universitatis Danubius. OEconomica from Danubius University of Galati Contact information at EDIRC.
Bibliographic data for series maintained by Daniela Robu ().