کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7352277 | 1476981 | 2017 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We show a stable long-run relationship between three developed and ten emerging frontier Asian (EFA) equity markets over the period 2000 to 2013 using daily, weekly, and monthly data. Across the three frequencies, DJIA returns are good predictors of EFA markets but the predictive power of Nikkei225 and S&P 500 differ. Further, during the GFC, the DJIA and Nikkei225 (not S&P 500) are influential. Non-GFC periods see all three important but S&P 500 was more persistent. We also reveal that the developed markets may be more important than other emerging market predictors, such as exchange rates and oil price shocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 23, November 2017, Pages 223-232
Journal: Finance Research Letters - Volume 23, November 2017, Pages 223-232
نویسندگان
Seema Narayan, Mobeen Ur Rehman,