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A note on the stability of relationships between returns from emerging stock markets

Author

Listed:
  • C. D. Sinclair
  • D. M. Power
  • A. A. Lonie
  • P. A. Avgoustinos

Abstract

Several of the larger emerging stock markets are focused upon. It is demonstrated that the intertemporal covariances between returns of different emerging markets may be insufficiently stable to permit the exploitation of the theoretical gains available from international diversification based upon ex post information. However, it is also suggested that, by using a simple strategy for forecasting covariance matrices, it is possible for many of the gains which appear to be available in ex post studies also to be achieved on an ex ante basis.

Suggested Citation

  • C. D. Sinclair & D. M. Power & A. A. Lonie & P. A. Avgoustinos, 1997. "A note on the stability of relationships between returns from emerging stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 273-280.
  • Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:273-280
    DOI: 10.1080/096031097333637
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    Cited by:

    1. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 454-479, September.

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