SAJMS - South Asian Journal of Management Sciences

Heterogeneous Panel Analysis among Equity Returns for Portfolio Diversification: Evidence from Emerging and Frontier Asian Equity Markets

Our study investigates the linkage between frontier and emerging equity markets of Asia from January 2000 to December 2016. To deal with heterogeneous panels, we applied pooled mean group framework proposed by Pesaran, Shin, and Smith (2001). Our findings reveal both short and long run relationships among sampled markets thereby supporting the feedback hypothesis. The magnitude of relationship is strong from frontier to emerging equity markets. Results of the study suggest that emerging markets are more integrated with Pakistani equity markets as compared to Sri Lankan equity market suggesting the presence of regional equity market connectedness.

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