International diversification with frontier markets

48 Pages Posted: 20 Apr 2022

See all articles by Dave Berger

Dave Berger

Oregon State University

Kuntara Pukthuanthong

University of Missouri, Columbia

J. Jimmy Yang

Oregon State University

Multiple version iconThere are 2 versions of this paper

Date Written: April 10, 2022

Abstract

We provide an analysis of frontier market equities with respect to world market integration and
diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit consistent rates of changing integration. Structural break tests identify breakpoints in integration, as well as integration dynamics across countries. We show that frontier markets have low integration with the world market and thereby offer significant diversification benefits.

Keywords: Frontier markets; International equity markets; Market Integration; International diversification

JEL Classification: F15; G15

Suggested Citation

Berger, Dave and Pukthuanthong, Kuntara and Yang, J. Jimmy, International diversification with frontier markets (April 10, 2022). Journal of Financial Economics, Forthcoming , Available at SSRN: https://ssrn.com/abstract=4080090

Dave Berger

Oregon State University ( email )

Bexell Hall 200
Corvallis, OR 97331
United States

Kuntara Pukthuanthong (Contact Author)

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)

HOME PAGE: https://www.kuntara.net/

J. Jimmy Yang

Oregon State University ( email )

426 Austin Hall
Corvallis, OR 97331
United States
5417376005 (Phone)

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