International diversification with frontier markets

被引:132
作者
Berger, Dave [1 ]
Pukthuanthong, Kuntara [2 ]
Yang, J. Jimmy [1 ]
机构
[1] Oregon State Univ, Coll Business, Corvallis, OR 97331 USA
[2] San Diego State Univ, Coll Business Adm, San Diego, CA 92182 USA
关键词
Frontier markets; International equity markets; Market integration; International diversification; EQUITY MARKETS; INTEGRATION; COMOVEMENTS; TIME;
D O I
10.1016/j.jfineco.2011.02.009
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit consistent rates of changing integration. Structural break tests identify breakpoints in integration, as well as integration dynamics across countries. We show that frontier markets have low integration with the world market and thereby offer significant diversification benefits. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码:227 / 242
页数:16
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