Abstract
This paper utilizes the multivariate GARCH framework of Engle and Kroner (1995) to examine the return and volatility spillovers among a new group of six frontier markets called ‘CIVETS’. These markets are considered to be the future hosts of investments due to their huge potential and abundance of resources. The analysis of weekly stock market return series revealed that these markets have significant return and volatility spillovers among each other. These findings suggest that the portfolio investors who invest in emerging and frontier markets for better returns should take into account the correlation of risk and returns among CIVETS stock markets. The diversification benefits should be assessed keeping in view the extent of inter-market linkages of Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa.
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Notes
- 1.
See for example, Abdul Karim et al. (2009), Aggarwal et al. (1999), Alagidede and Panagiotidis (2009), Alkulaib et al. (2009), Angelidis (2010), Baur and Fry (2009), Chancharoechai and Dibooglu (2006), Chang and Su (2010), Click and Plummer (2005), Edwards and Susmel (2001), Evans and McMillan (2009), Fernandez (2006), Gebka and Serwa (2007).
- 2.
A search made on http://www.repec.org with keyword “CIVETS” returned only two relevant studies (including Korkmaz et al. 2012) as of 10.09.2014.
- 3.
This model is based on the bivariate GARCH (1,1)-BEKK representation proposed by Engle and Kroner (1995).
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Saleem, K., Ahmed, S. (2015). Intra-market Linkages Among Civets Stock Markets: A New Frontier for Investments. In: Bilgin, M., Danis, H., Demir, E., Lau, C. (eds) Innovation, Finance, and the Economy. Eurasian Studies in Business and Economics, vol 1. Springer, Cham. https://doi.org/10.1007/978-3-319-15880-8_15
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DOI: https://doi.org/10.1007/978-3-319-15880-8_15
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