Intra-market Linkages Among Civets Stock Markets: A New Frontier for Investments

Kashif Saleem () and Sheraz Ahmed ()
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Kashif Saleem: Lappeenranta University of Technology
Sheraz Ahmed: Lappeenranta University of Technology

A chapter in Innovation, Finance, and the Economy, 2015, pp 181-192 from Springer

Abstract: Abstract This paper utilizes the multivariate GARCH framework of Engle and Kroner (1995) to examine the return and volatility spillovers among a new group of six frontier markets called ‘CIVETS’. These markets are considered to be the future hosts of investments due to their huge potential and abundance of resources. The analysis of weekly stock market return series revealed that these markets have significant return and volatility spillovers among each other. These findings suggest that the portfolio investors who invest in emerging and frontier markets for better returns should take into account the correlation of risk and returns among CIVETS stock markets. The diversification benefits should be assessed keeping in view the extent of inter-market linkages of Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa.

Keywords: GARCH-BEKK; Volatility spillovers; Contagion; CIVETS equity markets; Portfolio diversification (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:eurchp:978-3-319-15880-8_15

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DOI: 10.1007/978-3-319-15880-8_15

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