文章基本信息

标题：Heterogeneous Panel Analysis among Equity Returns for Portfolio Diversification: Evidence from Emerging and Frontier Asian Equity Markets
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作者：Mobeen Ur Rehman ; Syed Jawad Hussain Shahzad
期刊名称：South Asian Journal of Management Sciences
印刷版ISSN：2074-2967
出版年度：2017
卷号：11
页码：109-123
语种：English
出版社：Iqra University
摘要：Our study investigates the linkage between frontier and emerging equity markets ofAsia from January 2000 to December 2016. To deal with heterogeneous panels, we applied pooledmean group framework proposed by Pesaran, Shin, and Smith (2001). Our findings reveal bothshort and long run relationships among sampled markets thereby supporting the feedback hypothesis.The magnitude of relationship is strong from frontier to emerging equity markets. Results ofthe study suggest that emerging markets are more integrated with Pakistani equity markets as comparedto Sri Lankan equity market suggesting the presence of regional equity market connectedness.
关键词：Heterogeneous panels; emerging and frontier markets; equity returns; co-integration; pooled mean analysis