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| Author: | Berger, D. Pukthuanthong, K. Yang, J.J. |
| Title: | International diversification with frontier markets |
| Journal: | Journal of Financial Economics
2011 : JUL, VOL 101:1 p. 227-242 |
| Index terms: | stock markets emerging markets diversification integration |
| Freeterms: | frontier markets |
| Language: | eng |
| Abstract: | An analysis of frontier market equities with respect to world market integration and diversification is provided in this paper. It is revealed that frontier markets exhibit low levels of integration. Contrary to developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit consistent rates of changing integration. Structural break tests identify breakpoints in integration, as well as integration dynamics across countries. It is showed that frontier markets have low integration with the world market and thus offer remarkable diversification benefits. |
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