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dc.contributor.authorMiles, William
dc.date.accessioned2017-05-25T18:39:28Z
dc.date.available2017-05-25T18:39:28Z
dc.date.issued2006-08-19
dc.identifier.citationMiles, William. 2006. Do frontier equity markets exhibit common trends and still provide diversification opportunities? International Economic Journal, vol. 19:no. 3:pp 473-482
dc.identifier.issn1016-8737
dc.identifier.urihttp://dx.doi.org/10.1080/10168730500199475
dc.identifier.urihttp://hdl.handle.net/10057/13165
dc.descriptionClick on the DOI link to access the article (may not be free).
dc.description.abstractMany small, frontier equity markets in regions such as Africa and Eastern Europe have opened in recent years. As in other larger emerging markets, important issues for investors are the extent of financial integration with exchanges in other countries and, if some reasonable degree of integration is found, whether such markets still provide diversification opportunities. Here, we will examine a frequently used metric of integration by testing for the existence of common trends, or cointegration, in these frontier markets. While common stochastic trends are found, results show that coefficients on cointegrating vectors are at times negative, and reaction to deviations from the long-run trend are often slow, thus indicating that frontier markets are a good source of diversification opportunities despite a degree of integration.
dc.language.isoen_US
dc.publisherTaylor & Francis
dc.relation.ispartofseriesInternational Economic Journal;v.19:no.3
dc.subjectPortfolio choice
dc.subjectInternational financial markets
dc.titleDo frontier equity markets exhibit common trends and still provide diversification opportunities?
dc.typeArticle
dc.rights.holderCopyright 2005 Routledge


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