Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Integration of 22 emerging stock markets: A three-dimensional analysis
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
2012 (English)In: Global Finance Journal, ISSN 1044-0283, E-ISSN 1873-5665, Vol. 23, no 1, p. 34-47Article in journal (Refereed) Published
Abstract [en]

We apply the three-dimensional analysis of wavelet coherency to examine the integration of 22 emerging stock markets with the U.S. market. We find a high degree of co-movement at relatively lower frequencies between the U.S. and the 22 individual emerging markets. Our results show that the strength of co-movement, however, differs by country. For example, we report a high degree of co-movement between the U.S. and Brazil, Mexico and Korea, but low co-movement with and Egypt and Morocco. Our analyses also document a general change in the pattern of the market relationship after 2006, where we detect co-movements at relatively higher frequencies. Co-movement at the highest frequencies is, however, weak for fluctuations with duration less than a year. Our findings imply that investing selectively in emerging markets may provide significant diversification benefits which, invariably, depend on the investment horizon.

Place, publisher, year, edition, pages
2012. Vol. 23, no 1, p. 34-47
Keyword [en]
Stock market integration, Co-movement, Diversification, Emerging markets, Wavelet analysis
National Category
Business Administration
Research subject
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-74707DOI: 10.1016/j.gfj.2012.01.003OAI: oai:DiVA.org:su-74707DiVA, id: diva2:511437
Available from: 2012-03-21 Created: 2012-03-21 Last updated: 2018-01-25Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full text

Search in DiVA

By author/editor
Graham, Michael
By organisation
Finance
In the same journal
Global Finance Journal
Business Administration

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 224 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf