Guidi, Francesco ORCID: https://orcid.org/0000-0002-2682-189X and Savva, Christos S. (2015) Time varying integration and diversification strategies: the case of emerging and frontier stock market. In: 9th International Conference on Computational and Financial Econometrics (CFE 2015), 12th -14th Dec, 2015, Senate House, Birkbeck University of London.

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Abstract

The aim of this study is to investigate to what extent frontier as well as emerging equity markets are integrated with a leading stock market such the USA. By using both static and dynamic cointegration models we found that frontier equity markets are weakly integrated with the US market. In order to investigate the speed at which this integration is taking place, we use smooth transition models. Our findings show that the speed of integration in very low in most of the frontier markets. As the latter are located in economies characterized by very high rate of economic growth, the lack or weak integration with leading markets might be a valid reason for US investors willing to diversify their portfolio across these markets. Thereby, we explored such as hypothesis by using popular diversification strategies. Our results show that US investors would benefits in terms of portfolio gains if they had invested in frontier equity markets.

Item Type:	Conference or Conference Paper (Paper)
Uncontrolled Keywords:	equity markets integration
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory
Faculty / School / Research Centre / Research Group:	Greenwich Business School Greenwich Business School > School of Accounting, Finance and Economics
Last Modified:	04 Dec 2025 07:46
URI:	https://gala.gre.ac.uk/id/eprint/51881

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