A4 Conference proceedings

Intra-market Linkages Among Civets Stock Markets: A New Frontier for Investments

LUT Authors / Editors

Publication Details
Authors: Saleem Kashif, Ahmed Sheraz
Publication year: 2015
Language: English
Related Journal or Series Information: Eurasian studies in business and economics
Title of parent publication: Innovation, Finance, and the Economy : Proceedings of the 13th Eurasia Business and Economics Society Conference
Volume number: 1
ISBN: 978-3-319-15879-2
eISBN: 978-3-319-15880-8
ISSN: 2364-5067
JUFO-Level of this publication: 0
Open Access: Not an Open Access publication

This paper utilizes the multivariate GARCH framework of Engle and Kroner (1995) to examine the return and volatility spillovers among a new group of six frontier markets called ‘CIVETS'. These markets are considered to be the future hosts of investments due to their huge potential and abundance of resources. The analysis of weekly stock market return series revealed that these markets have significant return and volatility spillovers among each other. These findings suggest that the portfolio investors who invest in emerging and frontier markets for better returns should take into account the correlation of risk and returns among CIVETS stock markets. The diversification benefits should be assessed keeping in view the extent of inter-market linkages of Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa.

Last updated on 2017-22-03 at 14:10