DIVERSIFICATION GAINS FOR A HOME BIASED TRADER IN THE EMERGING AND FRONTIER EQUITY MARKETS

  • Seema Wati Narayan
  • Sivagowry Srianathakumar Independent Researcher, Australia
  • Greeni Maheshwari RMIT University, Viet Nam
  • Mobeen Ur Rehman South Ural State University, Russian Federation
Keywords: DCC-GARCH, Emerging and frontier markets, Financial crisis, European Sovereign debt crisis

Abstract

We study the case of a home-biased equity trader based in Asia, Central and Eastern Europe, the Middle East and North Africa, or Latin America, who is looking at diversifying his/her investment risks internationally within his/her region and three other emerging/frontier regions. We focus on explaining the dynamic conditional correlations between equity markets from 3 January 2002 to 11 November 2016. Timevarying opportunities for diversification are found in several nations across regions. However, diversification opportunities outside a region are largely reserved for bad times, such as during the global financial crisis and the European sovereign debt crisis.

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Published
2021-09-30
How to Cite
Narayan, S., Srianathakumar, S., Maheshwari, G., & Rehman, M. (2021). DIVERSIFICATION GAINS FOR A HOME BIASED TRADER IN THE EMERGING AND FRONTIER EQUITY MARKETS. Buletin Ekonomi Moneter Dan Perbankan, 24(3), 385 - 414. https://doi.org/10.21098/bemp.v24i3.1702
Section
Articles