TITLE:
Financial Integration and Portfolio Diversification: Evidence from CIVETS Stock Markets
AUTHORS:
Kashif Saleem, Osama Al-Hares, Sheraz Ahmed
KEYWORDS:
GARCH-BEKK, Volatility Spillovers, Contagion, CIVETS Equity Markets, Portfolio Diversification
JOURNAL NAME:
Theoretical Economics Letters,
Vol.6 No.6,
December
14,
2016
ABSTRACT: This paper investigates the extent of financial integration among a new group of six
frontier markets called “CIVETS” by utilizing the multivariate GARCH framework
of Engle and Kroner [1]. These countries are expected to show sustainable growth in
productivity and domestic consumption over the next decade and are considered as
potential corridor for the international investor from portfolio diversification point
of view. We utilize weekly stock market return series of all the CIVIETS nations, and
results exhibit significant return and volatility spillovers among all the markets under
investigation. Our results reveal that there are significant linkages among CIVETS
stock markets during the time of our analysis. However, the direction of relationship
is asymmetric depending on the countries in the model. We believe, CIVIETS stock
markets have full potential of being the future investment targets worldwide.