Integration of 22 emerging stock markets: A three-dimensional analysis
Integration of 22 emerging stock markets: A three-dimensional analysis
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DOI：
10.1016/j.gfj.2012.01.003
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发表时间：
2012-01-01
影响因子：
5.2
通讯作者：
Nikkinen, Jussi
中科院分区：
文献类型：
--
作者：
Graham, Michael;Kiviaho, Jarno;Nikkinen, Jussi
我们应用小波相关性的三维分析方法，考察了22个新兴股市与美国股市的整合情况。我们发现，美国和22个单独的新兴市场之间存在高度的协同作用，但频率相对较低。然而，我们的结果表明，共同运动的强度因国家而异。例如，我们报告了美国与巴西、墨西哥和韩国之间的高度协同流动，但与埃及和摩洛哥之间的协同流动程度较低。我们的分析还记录了2006年后市场关系模式的总体变化，我们检测到协同运动的频率相对更高。然而，对于持续时间不到一年的波动，最高频率的协同运动很弱。我们的发现表明，有选择地投资于新兴市场可能会带来显著的多元化收益，而这种收益总是取决于投资范围。(C)2012 Elsevier Inc.保留所有权利。
We apply the three-dimensional analysis of wavelet coherency to examine the integration of 22 emerging stock markets with the U.S. market. We find a high degree of co-movement at relatively lower frequencies between the U.S. and the 22 individual emerging markets. Our results show that the strength of co-movement, however, differs by country. For example, we report a high degree of co-movement between the U.S. and Brazil, Mexico and Korea, but low co-movement with and Egypt and Morocco. Our analyses also document a general change in the pattern of the market relationship after 2006, where we detect co-movements at relatively higher frequencies. Co-movement at the highest frequencies is, however, weak for fluctuations with duration less than a year. Our findings imply that investing selectively in emerging markets may provide significant diversification benefits which, invariably, depend on the investment horizon. (C) 2012 Elsevier Inc. All rights reserved.