A1 Journal article (refereed), original research
Financial Integration and Portfolio Diversification: Evidence from CIVETS Stock Markets
Open Access publication
Publication Details Authors: Saleem Kashif, Al-Hares Osama, Ahmed Sheraz
Publication year: 2016
Language: English
Related Journal or Series Information: Theoretical Economics Letters Volume number: 6
Start page: 1304
End page: 1314
JUFO-Level of this publication: 0
Open Access: Open Access publication
|
Abstract
This paper investigates the extent of financial integration among a new group of six frontier markets called “CIVETS” by utilizing the multivariate GARCH framework of Engle and Kroner [1]. These countries are expected to show sustainable growth in productivity and domestic consumption over the next decade and are considered as potential corridor for the international investor from portfolio diversification point of view. We utilize weekly stock market return series of all the CIVIETS nations, and results exhibit significant return and volatility spillovers among all the markets under investigation. Our results reveal that there are significant linkages among CIVETS stock markets during the time of our analysis. However, the direction of relationship is asymmetric depending on the countries in the model. We believe, CIVIETS stock markets have full potential of being the future investment targets worldwide.