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

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.