TitleInternational diversification with frontier markets
Publication TypeJournal Articles
Year of Publication2011
AuthorsBerger, D, Pukthuanthong, K, Yang, J
JournalJournal of Financial Economics
Volume101
Issue1
Pagination227-242
Date Published2011
KeywordsDoctoral Program, Finance, MBA
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.

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