International diversification with frontier markets

• 成果类型: Article
• 署名作者: Berger, Dave; Pukthuanthong, Kuntara; Yang, J. Jimmy
• 署名单位: Oregon State University; California State University System; San Diego State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.02.009
• 发表日期: 2011
• 页码: 227-242
• 关键词: Frontier markets; International equity markets; market integration; International diversification

摘要

We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit consistent rates of changing integration. Structural break tests identify breakpoints in integration, as well as integration dynamics across countries. We show that frontier markets have low integration with the world market and thereby offer significant diversification benefits. (C) 2011 Elsevier B.V. All rights reserved.