International portfolio diversification: United States and south Asian equity markets
This paper explores the dynamic liaison between US and three developing South Asian equity markets in short and long term. To gauge the long-term relationship, we applied Johansen co-integration procedure as all the representative indices are found to be non-stationary at level. The finding...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Economists' Association of Vojvodina
2014-01-01
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Series: | Panoeconomicus |
Subjects: | |
Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2014/1452-595X1402241M.pdf |
Summary: | This paper explores the dynamic liaison between US and three developing South
Asian equity markets in short and long term. To gauge the long-term
relationship, we applied Johansen co-integration procedure as all the
representative indices are found to be non-stationary at level. The findings
illustrate that the US equity market index exhibits a reasonably different
movement over time in contrast to the three developing equity markets under
consideration. However, the Granger-causality test divulge that the
direction of causality scamper from US equity market to the three South
Asian markets. It further indicates that within the three developing equity
markets the direction of causality emanates from Bombay stock market to
Karachi and Colombo. Overall, the results of the study suggest that the
American investors can get higher returns through international
diversification into developing equity markets, while the US stock market
would also be a gainful upshot for South Asian investors. |
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ISSN: | 1452-595X 2217-2386 |