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
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: G11 G15 F3 F65 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:223-232
Access Statistics for this article
Finance Research Letters is currently edited by R. GenÃ§ay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().