کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5075461 | 1373912 | 2012 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Integration of 22 emerging stock markets: A three-dimensional analysis
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Integration of 22 emerging stock markets: A three-dimensional analysis Integration of 22 emerging stock markets: A three-dimensional analysis](/preview/png/5075461.png)
چکیده انگلیسی
We apply the three-dimensional analysis of wavelet coherency to examine the integration of 22 emerging stock markets with the U.S. market. We find a high degree of co-movement at relatively lower frequencies between the U.S. and the 22 individual emerging markets. Our results show that the strength of co-movement, however, differs by country. For example, we report a high degree of co-movement between the U.S. and Brazil, Mexico and Korea, but low co-movement with and Egypt and Morocco. Our analyses also document a general change in the pattern of the market relationship after 2006, where we detect co-movements at relatively higher frequencies. Co-movement at the highest frequencies is, however, weak for fluctuations with duration less than a year. Our findings imply that investing selectively in emerging markets may provide significant diversification benefits which, invariably, depend on the investment horizon.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Global Finance Journal - Volume 23, Issue 1, 2012, Pages 34-47
Journal: Global Finance Journal - Volume 23, Issue 1, 2012, Pages 34-47
نویسندگان
Michael Graham, Jarno Kiviaho, Jussi Nikkinen,