نوسانات و همبستگی مشروط پویا بازارهای مرزی و نوظهور در سراسر جهان

This study examines the relationship between time-varying correlations and conditional volatility among 32 worldwide emerging and frontier stock markets and the MSCI World stock market index from January 2000 to December 2012. Correlations are estimated in the standard and asymmetric dynamic conditional correlation model frameworks. The results can be summarized by three main findings: (1) asymmetry in volatility is not a common phenomenon in emerging and frontier markets; (2) asymmetry in correlations is found only with respect to the Hungarian stock market; and (3) the relationship between volatility and correlations is positive and significant in most countries. Thus, diversification benefits decrease during periods of higher volatility.

One of the most significant and discussed concepts in the field of modern finance is portfolio theory, which is based on the principle that investors can reduce the variability of portfolio returns by holding assets with low- or negative-return correlations. A common belief is that there are such asset classes in international markets, particularly in emerging or frontier markets; therefore, most studies analyze such correlations among stock market returns. The earliest empirical studies in the field of stock market co-movement (see Grubel, 1968, Lessard, 1974 and Ripley, 1973) demonstrated that the equity return correlations throughout different international markets are low and can be attributed to national factors and that diversification among these markets is advisable.

This paper examined the time-varying correlations of 32 emerging and frontier markets with developed markets that were represented by the MSCI World index on a sample of weekly returns during the period from January 2000 to December 2012. Our findings have implications for risk management, international finance, and in particular portfolio management; they are summarized as follows: (i) The asymmetric behavior of volatility, often observed for developed stock markets, is not present in all of the analyzed emerging and frontier stock market indices. (ii) Asymmetry in correlations is likely to be scarce because it was only detected in the Hungarian BUX. Therefore, the correlations were changing symmetrically, regardless of whether the previous innovation was positive or negative. This result is in contrast to the results of Cappiello et al. (2006), which showed asymmetric effects in correlations for developed stock market returns.