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Diversification Gains For A Home Biased Trader In The Emerging And Frontier Equity Markets

Author

Listed:
  • Seema Wati Narayan

    (Independent Researcher)

  • Sivagowry Srianathakumar

    (Independent Researcher)

  • Greeni Maheshwari

    (RMIT University)

  • Mobeen Ur Rehman

    (South Ural State University)

Abstract

We study the case of a home-biased equity trader based in Asia, Central and Eastern Europe, the Middle East and North Africa, or Latin America, who is looking at diversifying his/her investment risks internationally within his/her region and three other emerging/frontier regions. We focus on explaining the dynamic conditional correlations between equity markets from 3 January 2002 to 11 November 2016. Timevarying opportunities for diversification are found in several nations across regions. However, diversification opportunities outside a region are largely reserved for bad times, such as during the global financial crisis and the European sovereign debt crisis.

Suggested Citation

  • Seema Wati Narayan & Sivagowry Srianathakumar & Greeni Maheshwari & Mobeen Ur Rehman, 2021. "Diversification Gains For A Home Biased Trader In The Emerging And Frontier Equity Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(3), pages 385-414, September.
    • Handle: RePEc:idn:journl:v:24:y:2021:i:3d:p:385-414
    DOI: https://doi.org/10.21098/bemp.v24i3.1702
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    More about this item

    Keywords

    DCC-GARCH; Emerging and frontier markets; Financial crisis; European Sovereign debt crisis;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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