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Integration of 22 emerging stock markets:  A three-dimensional analysis
Stockholm University, Faculty of Social Sciences, School of Business, Finance.
2012 (English)In: Global Finance Journal, ISSN 1044-0283, E-ISSN 1873-5665, Vol. 23, no 1, 34-47 p.Article 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 t

he 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, 34-47 p.
Keyword [en]
Stock market integration, Co-movement, Diversification, Emerging
National Category
Business Administration
Research subject
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-74707OAI: oai:DiVA.org:su-74707DiVA: diva2:511437
Available from: 2012-03-21 Created: 2012-03-21 Last updated: 2017-12-07Bibliographically approved

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http://www.southwesternfinance.org/conf-2011/swfa2011_submission_68.pdf

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