Frontier stock market integration and the global financial crisis

•We analyze integration between frontier and leading markets pre- and post-crisis.•Leading market Granger causes frontier one except some African and Mid-East markets.•U.S. market notably Granger causes the frontier markets.•Frontier markets’ interest rate, tax, and tariff are the key factors of integration.•Frontier markets in diverse regions have distinct relationships with leading markets.

This paper examines the stock market integration between frontier and leading markets, focusing on the periods of pre and post global financial crisis. Using time-series analysis, the results mostly support leading markets can Granger-cause frontier markets. Frontier markets in different regions have distinct relationships with leading markets. Population growth, industry value, interest rate, tax rate, and tariff of the frontier markets significantly influence the integration between both markets. Energy, gross national income, stock traded value, and high-technology exports of leading markets saliently influence the integration. Finally, the global financial crisis impacts the relationship between the frontier and leading markets and changes the determinants of stock market integration.