The Cross Market Comovement of Frontier Markets: Integratuon and Contagion among Them

Jubah Maulana, Rofikoh Rokhim

Research output: Contribution to conferencePaperpeer-review

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 languageEnglish
Publication statusPublished - 2017
EventInternational Conference and Doctoral Colloquium in Finance 2017 - Depok, Indonesia
Duration: 1 Jan 2017 → …

Conference

ConferenceInternational Conference and Doctoral Colloquium in Finance 2017
Country/TerritoryIndonesia
CityDepok
Period1/01/17 → …

Keywords

  • Frontier Markets, Interdependence and Contagion, Dynamic conditional correlation.

Fingerprint

Dive into the research topics of 'The Cross Market Comovement of Frontier Markets: Integratuon and Contagion among Them'. Together they form a unique fingerprint.

Cite this