Intervalling effect on intertemporal stability among Asian emerging markets and developed markets

Gordon Y N TANG*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

Using a direct test on the equality of variance-covariance matrices and on that of correlation matrices, the intervalling effect on the intertemporal stability in stock return relationships among six Asian emerging markets and four developed markets is examined. Our empirical results show that: (1) it pays to diversity into the Asian emerging markets as the correlations between Asian emerging markets and developed markets are smaller than those among developed markets only; (2) correlation matrices of stock returns are much more stable than the corresponding variance-covariance matrices - this result is robust across different lengths of holding intervals; (3) the shorter the time period considered, the more stable are the patterns of stock market co-movement, which is true for all holding intervals; and (4) with an increase in the length of the holding intervals, there is weak evidence that the stock market relationships among Asian emerging markets and developed markets become relatively more stable for each time period considered.

Original languageEnglish
Pages (from-to)257-265
Number of pages9
JournalJournal of Business Research
Volume36
Issue number3
DOIs
Publication statusPublished - Jul 1996

Scopus Subject Areas

  • Marketing

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