scholarly journals Measuring Co-Movements and Linkages between Nigeria and the UAE Stock Exchanges: Is there Opportunity for Portfolio Building?

2020 ◽  
Vol 1 (2) ◽  
pp. 106-122
Author(s):  
Shafiu Abdullahi
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Market Integration ◽  
Stock Exchange ◽  
Portfolio Diversification ◽  
Empirical Literature ◽  
Stock Exchanges ◽  
Financial Contagion ◽  
Stock Market Integration ◽  
Short Run

Purpose: The main objective of this study is to examine the relationship between Nigerian Stock Exchange and Dubai stock exchange with the aim of finding out the direction of movements between their respective indices. Approach/Methodology/Design: The methodology adopted for the analysis is ARDL cointegration model and the Generalized Method of Moment (GMM). This is because of their known efficiency in detecting patterns between variables. Findings: The result of the short-run analysis using GMM shows that there is existence of short-run causality between the Dubai financial market (DFM) and the Nigerian stock exchange (NSE). Thus, for investors looking for short- run arbitrage opportunity between the markets, they shall look elsewhere. But, the result of bound testing has shown lack of cointegration between the two markets. This is a sign of existence of opportunities for portfolio diversification between Nigeria stock exchange and Dubai financial market, since the two markets are not cointegrated in the long-run. Practical Implications: The study helps bridge the empirical literature gap in stock market integration and portfolio diversification with reference to the Nigeria and UAE. It will, therefore, guide local and foreign investors with interest in Nigeria and UAE Stock Exchanges. It will also guide Nigerian and UAE policy makers to understand the market better, especially as it concerns financial contagion. Originality/value: This study provides further evidence on stock market integration in emerging markets. New researches shall adopt different methodology such as use of volatility tracking models to measure volatility linkage between the markets.

scholarly journals Cross-Country Stock Market Integration and Portfolio Diversification Opportunities Evidence from Developed, Emerging and Frontier Countries

2020 ◽  
Vol 39 (1) ◽  
Author(s):  
Sultan Salahuddin ◽  
Muhammad Kashif ◽  
Mobeen Ur Rehman
Keyword(s):  
Stock Market ◽  
South Korea ◽  
Market Integration ◽  
Portfolio Diversification ◽  
Stock Market Integration ◽  
Country Level ◽  
Low Correlation ◽  
Long Run ◽  
Short Run ◽  
Cross Country

This study examines the stock market integration in cross-regional countries of developed, emerging, and frontier markets based on low correlation. The objective of the study is to identify the diversification opportunities and link between correlation and integration among country-level stocks. For this purpose, we select 62 countries from all three classifications of developed, emerging, and Frontier Markets. We constructed portfolios by selecting least 5 correlated countries denoted with Pjt in which each country has a correlation of less than .10 with base country Pit. Thirty-two countries fulfill the criteria of low correlation; 7, 13 and 12 from developed, emerging and frontier markets, respectively. Panel co-integration and VECM are applied to test the stock market integration and long & short-run linkages between country-level portfolios designed based on low correlation criteria. After conditioning for oil price movements, S&P 500 and exchange rate, we found Canada, France and Germany from developed category; Chile, Colombia, Greece, South Korea, Malaysia, Pakistan and Philippine from emerging category; and Bahrain, Jordan, Kuwait, Morocco, and Sri Lanka from frontier category have long-run diversification opportunities. Countries including; Canada and Italy from developed category; Argentina, Chile, China, Colombia, India, Indonesia, South Korea, Mexico and the Philippine from emerging category; and Bahrain, Kuwait, Morocco, Nigeria, and Tunisia from emerging category have short-run diversification opportunities.

Cross-Country Stock Market Integration and Portfolio Diversification Opportunities Evidence from Developed, Emerging and Frontier Countries

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Sultan Salahuddin ◽  
Muhammad Kashif ◽  
Mobeen Ur Rehman
Keyword(s):  
Stock Market ◽  
South Korea ◽  
Market Integration ◽  
Portfolio Diversification ◽  
Stock Market Integration ◽  
Country Level ◽  
Low Correlation ◽  
Long Run ◽  
Short Run ◽  
Cross Country

This study examines the stock market integration in cross-regional countries of developed, emerging, and frontier markets based on low correlation. The objective of the study is to identify the diversification opportunities and link between correlation and integration among country-level stocks. For this purpose, we select 62 countries from all three classifications of developed, emerging, and Frontier Markets. We constructed portfolios by selecting least 5 correlated countries denoted with Pjt in which each country has a correlation of less than .10 with base country Pit. Thirty-two countries fulfill the criteria of low correlation; 7, 13 and 12 from developed, emerging and frontier markets, respectively. Panel co-integration and VECM are applied to test the stock market integration and long & short-run linkages between country-level portfolios designed based on low correlation criteria. After conditioning for oil price movements, S&P 500 and exchange rate, we found Canada, France and Germany from developed category; Chile, Colombia, Greece, South Korea, Malaysia, Pakistan and Philippine from emerging category; and Bahrain, Jordan, Kuwait, Morocco, and Sri Lanka from frontier category have long-run diversification opportunities. Countries including; Canada and Italy from developed category; Argentina, Chile, China, Colombia, India, Indonesia, South Korea, Mexico and the Philippine from emerging category; and Bahrain, Kuwait, Morocco, Nigeria, and Tunisia from emerging category have short-run diversification opportunities.

Local Stock Market Integration with International Gold and Oil Price

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Kanon Kumar Sen ◽  
◽  
Md. Thasinul Abedin ◽  
Ratan Ghosh ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Market Integration ◽  
Oil Price ◽  
Policy Implications ◽  
Bounds Testing ◽  
Stock Market Index ◽  
Data Set ◽  
Stock Market Integration ◽  
Market Index ◽  
Short Run

We look for the integration of Bangladesh Stock Market with international gold and oil price using most recent monthly data set from January 2003 to December 2020 (2003m1-2020m12). We employ the bounds-testing approach to cointegration between stock market index (DSEX) and international gold and oil price and eventually find an integration and dynamic significant impact of international gold and oil price on DSEX in the long and short-run. We discuss the important policy implications of the dynamic impact of international gold and oil price on stock market index.

scholarly journals Shari’ah Compliances Stock Market Integration: Evidence From Indonesia and Malaysia

2017 ◽  
Vol 2 (01) ◽  
pp. 1
Author(s):  
Helma Malini
Keyword(s):  
Stock Market ◽  
Market Integration ◽  
Efficient Market Hypothesis ◽  
Portfolio Diversification ◽  
Screening Process ◽  
Stock Market Integration ◽  
Distributed Lag ◽  
Long Run ◽  
Ardl Approach ◽  
Generalized Methods Of Moments

<p>The nature of stock market integration has been an issue for almost a decade; this issue is more complicated toward Shari’ah compliance between countries since there are differences of companies screening process that can be classified as Shari’ah compliances. The differences make the integration of Shari’ah compliances stock market become a major issue in trying to answer the question whether one country can be the placed for Shari’ah portfolio diversification. This study aims to measure Shari’ah compliances integration and portfolio diversification in Indonesia and Malaysia Shari’ah compliances toward other Shari’ah compliances in the world. Six Shari’ah compliances are selected based on countries level of development and geographical factor. This studies relies on two major time series investigation techniques, namely the Auto-Regressive Distributed Lag (ARDL) approach and multi-variate Vector Error Correction Mechanism (VECM), based on the Generalized Methods of Moments (GMM). The ARDL approach is used to determine the existence of long run integration among Shari’ah compliances, while the multi-variate VECM based on the GMM is adopted to provide a robust analysis of short and long-run dynamic causal linkages among the stock markets.</p><p><br />Keywords: Efficient Market Hypothesis, Portfolio Diversification, Shari’ah compliances Integration</p>

scholarly journals Assessing Financial Market Integration in Vietnam: A Price – Based Approach

2020 ◽  
Vol 9 (4) ◽  
pp. 105
Author(s):  
Tran Thi Xuan Anh ◽  
Ngo Thi Hang ◽  
Nguyen Thi Lam Anh
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Market Integration ◽  
Bond Market ◽  
Stock Market Integration ◽  
Financial Market Integration ◽  
Beta Coefficient ◽  
Integration Levels ◽  
Beta Convergence ◽  
Global Stock

This paper investigates the existence of financial market integration between Vietnam and the region (ASEAN, ASIAN) as well as the world using price-based indicators. Our paper is the first to assess the overall integration of the Vietnam financial market based on two different datasets for different sub-capital markets, the bond market and stock market, during the period of 2009 - 2018. The empirical results show that Vietnam, compared to other countries in research, holds lower regional and international integration levels in both the bond market and the stock market, but demonstrates considerably strong signs of progressing regional and global stock market integration over the period. Especially, the absolute values estimated from the beta coefficient and beta convergence approaches for the Vietnamese stock market are larger than for the bond market, proving better convergence degree and speed of Vietnamese stock market over the bond market. These bring policymakers and regulators new thoughts and more challenges in designing appropriate policies towards the development of the financial markets in the future.

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