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2015 | OriginalPaper | Buchkapitel

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

verfasst von : Kashif Saleem, Sheraz Ahmed

Erschienen in: Innovation, Finance, and the Economy

Verlag: Springer International Publishing

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Abstract

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.

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Vorheriges Kapitel Global Factors of World Development

Nächstes Kapitel Social Capital and Information Sharing: Impact on Firm Performance

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A search made on http://www.repec.org with keyword “CIVETS” returned only two relevant studies (including Korkmaz et al. 2012) as of 10.09.2014.

This model is based on the bivariate GARCH (1,1)-BEKK representation proposed by Engle and Kroner (1995).

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Titel: Intra-market Linkages Among Civets Stock Markets: A New Frontier for Investments
verfasst von: Kashif Saleem
Sheraz Ahmed
Verlag: Springer International Publishing
Buch: Innovation, Finance, and the Economy
Print ISBN: 978-3-319-15879-2

Electronic ISBN: 978-3-319-15880-8

Copyright-Jahr: 2015
DOI: https://doi.org/10.1007/978-3-319-15880-8_15