文章基本信息

标题：Relationship between Major developed equity markets and Major Frontier Equity Markets of World
其他标题：Relationship between Major developed equity markets and Major Frontier Equity Markets of World
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作者：Baig, Muhammad Mansoor ; Bilal, Muhammad ; Aslam, Waheed 等
期刊名称：Acta Universitatis Danubius. Oeconomica
印刷版ISSN：2065-0175
电子版ISSN：2067-340X
出版年度：2016
卷号：12
期号：1
语种：English
出版社：Danubius University
摘要：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 co-integrated.
关键词：Diversification; portfolio; frontier markets; unit root test; Co-integration test; markets of developed countries