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

作者：Narayan Seema; Rehman Mobeen Ur

来源：Finance Research Letters, 2017, 23: 223-232.

DOI：10.1016/j.frl.2017.06.007

• Emerging and frontier markets
• Equity returns
• VECM
• Co movements
• Asia

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.

• 出版日期2017-11