Returns, volatilities, and correlations across mature, regional, and frontier markets: Evidence from South Asia

Abu S. Amin, Lucjan T. Orlowski

Research output: Contribution to journalArticlepeer-review

16 Scopus citations

Abstract

We investigate returns, volatilities, and correlations across mature, dominant regional, and frontier equity markets. Standard & Poor's 500 is chosen as a mature equity market; India is chosen as a dominant regional market; and Bangladesh, Pakistan, and Sri Lanka are chosen as frontier markets. Our empirical tests show that the frontier markets remain fundamentally decoupled from the mature markets during normal market periods. During turbulent times, the contagion effects from the mature to the frontier markets become more pronounced. The results suggest that the dominant regional market plays a key role in disseminating shocks across the frontier markets during normal periods; during the turbulent recent financial crisis period, a similar contagion is not observed.

Original languageEnglish
Pages (from-to)5-27
Number of pages23
JournalEmerging Markets Finance and Trade
Volume50
Issue number3
DOIs
StatePublished - May 1 2014

Keywords

  • Dynamic conditional correlation
  • Emerging financial markets
  • Frontier markets
  • Mature financial markets
  • Regional financial markets
  • Volatility spillovers

Fingerprint

Dive into the research topics of 'Returns, volatilities, and correlations across mature, regional, and frontier markets: Evidence from South Asia'. Together they form a unique fingerprint.

Cite this