Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets

Seema Narayan () and Mobeen Ur Rehman

Finance Research Letters, 2017, vol. 23, issue C, 223-232

Abstract: We show a stable long-run relationship between three developed and ten emerging frontier Asian (EFA) equity markets over the period 2000 to 2013 using daily, weekly, and monthly data. Across the three frequencies, DJIA returns are good predictors of EFA markets but the predictive power of Nikkei225 and S&P 500 differ. Further, during the GFC, the DJIA and Nikkei225 (not S&P 500) are influential. Non-GFC periods see all three important but S&P 500 was more persistent. We also reveal that the developed markets may be more important than other emerging market predictors, such as exchange rates and oil price shocks.

Keywords: Emerging and frontier markets; Equity returns; VECM; Co movements; Asia (search for similar items in EconPapers)
JEL-codes: F3 F65 G11 G15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:223-232

DOI: 10.1016/j.frl.2017.06.007

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