relationship between major developed equity markets and major frontier equity markets of world

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ID: 206458
2016
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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.
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Authors ;Muhammad Mansoor Baig;Muhammad Bilal;Waheed Aslam
Journal organic process research and development
Year 2016
DOI
DOI not found
URL
http://journals.univ-danubius.ro/index.php/oeconomica/article/view/3063/3107
Keywords Keywords not found

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