Abstract
The main purpose of this study is to analyse the cross-market linkage in Frontier Markets. Using Dynamic Conditional Correlation, the daily stock return of 12 Frontier Markets indices from January 2003 to December 20013 are used to compare their interaction structure pre-crises (phase 1) and post-crises (phase 2) the global financial crises. Accordingly, in regional level consist of American, EMEA, and African Frontier Markets have no integration with Asian Frontier Markets. Furthermore, there is no contagion between American Frontier Markets and Asian Frontier Markets. On the other hand, they have contagion with EMEA and African Frontier Markets. Besides, some countries in EMEA and African have contagion each other.
| Original language | English |
|---|---|
| Publication status | Published - 2017 |
| Event | International Conference and Doctoral Colloquium in Finance 2017 - Depok, Indonesia Duration: 1 Jan 2017 → … |
Conference
| Conference | International Conference and Doctoral Colloquium in Finance 2017 |
|---|---|
| Country/Territory | Indonesia |
| City | Depok |
| Period | 1/01/17 → … |
Keywords
- Frontier Markets, Interdependence and Contagion, Dynamic conditional correlation.