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Intra-market Linkages Among Civets Stock Markets: A New Frontier for Investments

In: Innovation, Finance, and the Economy

Author

Listed:
  • Kashif Saleem

    (Lappeenranta University of Technology)

  • Sheraz Ahmed

    (Lappeenranta University of Technology)

Abstract

This paper utilizes the multivariate GARCH framework of Engle and Kroner (1995) to examine the return and volatility spillovers among a new group of six frontier markets called ‘CIVETS’. These markets are considered to be the future hosts of investments due to their huge potential and abundance of resources. The analysis of weekly stock market return series revealed that these markets have significant return and volatility spillovers among each other. These findings suggest that the portfolio investors who invest in emerging and frontier markets for better returns should take into account the correlation of risk and returns among CIVETS stock markets. The diversification benefits should be assessed keeping in view the extent of inter-market linkages of Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa.

Suggested Citation

  • Kashif Saleem & Sheraz Ahmed, 2015. "Intra-market Linkages Among Civets Stock Markets: A New Frontier for Investments," Eurasian Studies in Business and Economics, in: Mehmet Huseyin Bilgin & Hakan Danis & Ender Demir & Chi Keung Marco Lau (ed.), Innovation, Finance, and the Economy, edition 127, pages 181-192, Springer.
    • Handle: RePEc:spr:eurchp:978-3-319-15880-8_15
    DOI: 10.1007/978-3-319-15880-8_15
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