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This paper investigates the extent of financial integration among a new group of sixfrontier markets called -CIVETS- by utilizing the multivariate GARCH frameworkof Engle and Kroner 1. These countries are expected to show sustainable growth inproductivity and domestic consumption over the next decade and are considered aspotential corridor for the international investor from portfolio diversification pointof view. We utilize weekly stock market return series of all the CIVIETS nations, andresults exhibit significant return and volatility spillovers among all the markets underinvestigation. Our results reveal that there are significant linkages among CIVETSstock markets during the time of our analysis. However, the direction of relationshipis asymmetric depending on the countries in the model. We believe, CIVIETS stockmarkets have full potential of being the future investment targets worldwide.

KEYWORDS

GARCH-BEKK, Volatility Spillovers, Contagion, CIVETS Equity Markets, Portfolio Diversification

Cite this paper

Saleem, K. , Al-Hares, O. and Ahmed, S. 2016 Financial Integration and Portfolio Diversification: Evidence from CIVETS Stock Markets. Theoretical Economics Letters, 6, 1304-1314. doi: 10.4236-tel.2016.66121.





Autor: Kashif Saleem1, Osama Al-Hares1, Sheraz Ahmed2

Fuente: http://www.scirp.org/



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