Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista Evidenciação Contábil & Finanças |
Texto Completo: | https://periodicos.ufpb.br/ojs2/index.php/recfin/article/view/27518 |
Resumo: | This paper investigates empirically the linkage between frontier and emerging markets of Asia with the developed markets of Unites States, Japan and Europe over the period of 15 years from January 2000 to December 2014. To deal with heterogeneous panels, we have made use of pooled mean group statistics suggested by Pesaran et al. (2001) for more reliable results. After testing for panel unit root and co-integration, both short and long term relationship were found among the included markets thereby supporting the feedback hypothesis. The direction of relationship is more important from developed to emerging and frontier markets than among the developing-emerging markets. Results suggest that integration is higher among EFA and Japanese markets than the EFA and US markets. These findings are in accordance with the view that level of stock market integration continues to increase. The finding of this paper has important implication for the researchers, practitioners and policy makers. Knowledge about the kind of relationship between EFA and developed markets can help governments of EFA markets to devise various strategies keeping in view their return sensitivity to the developed equity markets. This can help in predicting the return pattern of emerging and frontier markets over the period of short and long run. Furthermore, the relationship among EFA and developed markets enable investors to reap maximum diversification benefits and to minimize risks due to financial contagion or spillover phenomena. |
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Revista Evidenciação Contábil & Finanças |
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Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock MarketsHeterogeneous PanelsFrontier MarketsEquity ReturnsPooled Mean AnalysisThis paper investigates empirically the linkage between frontier and emerging markets of Asia with the developed markets of Unites States, Japan and Europe over the period of 15 years from January 2000 to December 2014. To deal with heterogeneous panels, we have made use of pooled mean group statistics suggested by Pesaran et al. (2001) for more reliable results. After testing for panel unit root and co-integration, both short and long term relationship were found among the included markets thereby supporting the feedback hypothesis. The direction of relationship is more important from developed to emerging and frontier markets than among the developing-emerging markets. Results suggest that integration is higher among EFA and Japanese markets than the EFA and US markets. These findings are in accordance with the view that level of stock market integration continues to increase. The finding of this paper has important implication for the researchers, practitioners and policy makers. Knowledge about the kind of relationship between EFA and developed markets can help governments of EFA markets to devise various strategies keeping in view their return sensitivity to the developed equity markets. This can help in predicting the return pattern of emerging and frontier markets over the period of short and long run. Furthermore, the relationship among EFA and developed markets enable investors to reap maximum diversification benefits and to minimize risks due to financial contagion or spillover phenomena.UFPB2016-04-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdftext/plainhttps://periodicos.ufpb.br/ojs2/index.php/recfin/article/view/27518Revista Evidenciação Contábil & Finanças; v. 4 n. 1 (2016): jan./abr.; 84-962318-1001reponame:Revista Evidenciação Contábil & Finançasinstname:Universidade Federal da Paraíba (UFPB)instacron:UFPBenghttps://periodicos.ufpb.br/ojs2/index.php/recfin/article/view/27518/15279https://periodicos.ufpb.br/ojs2/index.php/recfin/article/view/27518/25643Copyright (c) 2016 Revista Evidenciação Contábil & Finançasinfo:eu-repo/semantics/openAccessRehman, Mobeen UrShah, Syed Muhammad Amir2019-10-25T17:53:50Zoai:periodicos.ufpb.br:article/27518Revistahttps://periodicos.ufpb.br/ojs2/index.php/recfin/PUBhttps://periodicos.ufpb.br/ojs2/index.php/recfin/oai||recfin@ccsa.ufpb.br2318-10012318-1001opendoar:2019-10-25T17:53:50Revista Evidenciação Contábil & Finanças - Universidade Federal da Paraíba (UFPB)false |
dc.title.none.fl_str_mv |
Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets |
title |
Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets |
spellingShingle |
Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets Rehman, Mobeen Ur Heterogeneous Panels Frontier Markets Equity Returns Pooled Mean Analysis |
title_short |
Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets |
title_full |
Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets |
title_fullStr |
Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets |
title_full_unstemmed |
Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets |
title_sort |
Determinants of Return’s Co-Movement for Effective Portfolio Diversification Among Regional Stock Markets |
author |
Rehman, Mobeen Ur |
author_facet |
Rehman, Mobeen Ur Shah, Syed Muhammad Amir |
author_role |
author |
author2 |
Shah, Syed Muhammad Amir |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Rehman, Mobeen Ur Shah, Syed Muhammad Amir |
dc.subject.por.fl_str_mv |
Heterogeneous Panels Frontier Markets Equity Returns Pooled Mean Analysis |
topic |
Heterogeneous Panels Frontier Markets Equity Returns Pooled Mean Analysis |
description |
This paper investigates empirically the linkage between frontier and emerging markets of Asia with the developed markets of Unites States, Japan and Europe over the period of 15 years from January 2000 to December 2014. To deal with heterogeneous panels, we have made use of pooled mean group statistics suggested by Pesaran et al. (2001) for more reliable results. After testing for panel unit root and co-integration, both short and long term relationship were found among the included markets thereby supporting the feedback hypothesis. The direction of relationship is more important from developed to emerging and frontier markets than among the developing-emerging markets. Results suggest that integration is higher among EFA and Japanese markets than the EFA and US markets. These findings are in accordance with the view that level of stock market integration continues to increase. The finding of this paper has important implication for the researchers, practitioners and policy makers. Knowledge about the kind of relationship between EFA and developed markets can help governments of EFA markets to devise various strategies keeping in view their return sensitivity to the developed equity markets. This can help in predicting the return pattern of emerging and frontier markets over the period of short and long run. Furthermore, the relationship among EFA and developed markets enable investors to reap maximum diversification benefits and to minimize risks due to financial contagion or spillover phenomena. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-04-27 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://periodicos.ufpb.br/ojs2/index.php/recfin/article/view/27518 |
url |
https://periodicos.ufpb.br/ojs2/index.php/recfin/article/view/27518 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://periodicos.ufpb.br/ojs2/index.php/recfin/article/view/27518/15279 https://periodicos.ufpb.br/ojs2/index.php/recfin/article/view/27518/25643 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2016 Revista Evidenciação Contábil & Finanças info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2016 Revista Evidenciação Contábil & Finanças |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf text/plain |
dc.publisher.none.fl_str_mv |
UFPB |
publisher.none.fl_str_mv |
UFPB |
dc.source.none.fl_str_mv |
Revista Evidenciação Contábil & Finanças; v. 4 n. 1 (2016): jan./abr.; 84-96 2318-1001 reponame:Revista Evidenciação Contábil & Finanças instname:Universidade Federal da Paraíba (UFPB) instacron:UFPB |
instname_str |
Universidade Federal da Paraíba (UFPB) |
instacron_str |
UFPB |
institution |
UFPB |
reponame_str |
Revista Evidenciação Contábil & Finanças |
collection |
Revista Evidenciação Contábil & Finanças |
repository.name.fl_str_mv |
Revista Evidenciação Contábil & Finanças - Universidade Federal da Paraíba (UFPB) |
repository.mail.fl_str_mv |
||recfin@ccsa.ufpb.br |
_version_ |
1799711959025713152 |