The core aim of this study is to compute the long run relationship between frontier equity markets Pakistan (KSE 100 Index), Argentina (MERVAL BUENOS AIRES) stock Exchange, NSE.20 (Kenya), MSM 30 (MSI) Oman and equity markets of developed world (OMXS30) Sweden, SMI (Switzerland), SSE Composite Index (China) and STI index (Singapore) by taking weekly values from stock return prices for the period 1st week of January-2000 to last week of January/2014. Descriptive statistic, Correlation, Augmented dickey fuller (ADF), Phillips Perron test, Johanson and Jelseluis test of co-integration, Granger causality test, Variance Decomposition Test and Impulse Response are used to find the relationship among frontier and developed markets. The results of this study reveal that frontier markets have no long run relationship with equity markets of developed world. Furthermore, this study is helpful for investors to enhance the returns by diversifying the unsystematic risk at given level of profit because results of this study confirm that markets are no co-integrated.
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机译：这项研究的核心目的是计算巴基斯坦（KSE 100指数），阿根廷（MERVAL BUENOS AIRES）股票交易所，NSE.20（肯尼亚），MSM 30（MSI）阿曼与阿联酋股票市场之间的长期关系。瑞典，SMI（瑞士），SSE综合指数（中国）和STI指数（新加坡），方法是从2000年1月第一周到2014年1月最后一周的股票回报价格中获取每周值。描述性统计量，相关性，增强的dickey fuller（ADF），Phillips Perron检验，Johanson和Jelseluis协整检验，Granger因果关系检验，方差分解检验和冲激响应被用来发现前沿市场与发达市场之间的关系。这项研究的结果表明，前沿市场与发达国家的股票市场没有长期的关系。此外，这项研究有助于投资者通过在给定的利润水平上分散非系统性风险来提高回报，因为这项研究的结果证实市场没有共同整合。
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