International diversification benefits of emerging equity markets
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- Title
- International diversification benefits of emerging equity markets
- Creator
- Antonella Rampone
- Date
- 2022
- Abstract
-
This dissertation investigates the cointegrating relationships between some the world’s
largest developed markets and emerging markets. The goal of this paper was to find any
long-term linkages and provide an analysis of the diversification benefits of emerging
markets. The period of study is from 2012 to 2022, which considers the effects of the
Covid-19 global pandemic as a financial crisis. The study applied the Engle-Granger method to test for cointegration between the selected emerging equity markets and developed equity markets. With regards to the whole sample, we find that there is space for diversification benefits as the results showed only one cointegrating relation. Concerning the sub-sample periods (pre-Covid, during Covid and post-Covid), the results of the Engle-Granger test suggest that at least one cointegrating relationship exists in each period. However, the study then applied an Error Correction Model (ECM) to each confirmed cointegrated relation and found that only two of these were significant. The results support the hypothesis of this thesis, yet we find that there is supporting evidence of financial diversification benefits for majority of the markets tested. - Subject
- Finance
- Emerging markets
- Extent
- 71 pages
- Format
- Publisher
- Regent's University
- degree
- MSc Finance & Investment (Wealth Management)
- Language
- English
- Date Issued
- 2022
- Type
- Thesis & Dissertation
- Item sets
- Theses or Dissertation