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Relationship between Major Developed Equity Markets and Major Frontier Equity Markets of World

Author

Listed:
  • Muhammad Mansoor Baig

    (University of Sargodha)

  • Muhammad Bilal

    (University of Sargodha)

  • Waheed Aslam

    (University of Sargodha)

Abstract

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 cointegrated.

Suggested Citation

  • Muhammad Mansoor Baig & Muhammad Bilal & Waheed Aslam, 2016. "Relationship between Major Developed Equity Markets and Major Frontier Equity Markets of World," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(1), pages 182-196, February.
    • Handle: RePEc:dug:actaec:y:2016:i:1:p:182-196
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    File URL: http://journals.univ-danubius.ro/index.php/oeconomica/article/view/3063/3107
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    References listed on IDEAS

    as
    1. Paresh Narayan & Russell Smyth & Mohan Nandha, 2004. "Interdependence and dynamic linkages between the emerging stock markets of South Asia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(3), pages 419-439, November.
    2. Shahzad, Syed Jawad Hussain & Ahmed, Tanveer & Rehman, Mobeen Ur & Zakaria, Muhammad, 2014. "Relationship between Developed, Emerging and South Asian Equity Markets: Empirical Evidence with a Multivariate Framework Analysis," MPRA Paper 60398, University Library of Munich, Germany.
    3. repec:asi:aeafrj:v:3:y:2013:i:1:p:16-27:id:966 is not listed on IDEAS
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