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A note on the stability of relationships between returns from emerging stock markets

Author

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  • C. D. Sinclair
  • D. M. Power
  • A. A. Lonie
  • P. A. Avgoustinos

Abstract

Several of the larger emerging stock markets are focused upon. It is demonstrated that the intertemporal covariances between returns of different emerging markets may be insufficiently stable to permit the exploitation of the theoretical gains available from international diversification based upon ex post information. However, it is also suggested that, by using a simple strategy for forecasting covariance matrices, it is possible for many of the gains which appear to be available in ex post studies also to be achieved on an ex ante basis.

Suggested Citation

  • C. D. Sinclair & D. M. Power & A. A. Lonie & P. A. Avgoustinos, 1997. "A note on the stability of relationships between returns from emerging stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 273-280.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:273-280
    DOI: 10.1080/096031097333637
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    References listed on IDEAS

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    1. Eun, Cheol S & Resnick, Bruce G, 1984. "Estimating the Correlation Structure of International Share Prices," Journal of Finance, American Finance Association, vol. 39(5), pages 1311-1324, December.
    2. Eun, Cheol S. & Resnick, Bruce G., 1992. "Forecasting the correlation structure of share prices: A test of new models," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 643-656, June.
    3. Elton, Edwin J & Gruber, Martin J, 1973. "Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection," Journal of Finance, American Finance Association, vol. 28(5), pages 1203-1232, December.
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    Cited by:

    1. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 454-479, September.
    2. Ekaterini Tsouma, 2007. "Stock return dynamics and stock market interdependencies," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 805-825.

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