Open AccessAnalysing portfolio diversification opportunities in selected stock markets of North and South America and their impact on the textile sector: An empirical case study
Author(s) -
Ramona Birău,
Cristi Spulbăr,
Hamza Ajmal,
Abdullah Ejaz,
Elena Loredana Minea,
Ali Imran Zulfiqar,
Mihai Ovidiu Cercel
Publication year - 2021
Publication title -
industria textilă
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.281
H-Index - 14
ISSN - 1222-5347
DOI - 10.35530/it.072.04.1808
Subject(s) - granger causality , stock exchange , diversification (marketing strategy) , stock market , empirical research , portfolio , financial economics , stock (firearms) , economics , stock market index , business , econometrics , geography , finance , statistics , marketing , mathematics , context (archaeology) , archaeology
This empirical study investigates the financial integration linkages among the sample stock markets of Canada, Mexico,United States (for both New York Stock Exchange, i.e. NYSE and NASDAQ), Panama, Brazil, Chile, Peru, Venezuela,Jamaica, Trinidad, and Tobago during the period from January 2001 to April 2019. This research study also examinesthe impact of selected stock market dynamics on the textile sector. International portfolio diversification has been animportant subject of research in financial fraternity since the emergence of Modern Portfolio Theory in 1952. This studyexamines the portfolio diversification opportunities in the 11 stock markets of Americas.International diversificationamong stock market indices has proven to be fruitful in the past. Certain tests have been used to determine opportunitiesfor diversification are correlation test, pairwise co-integration test, multiple co-integration test and granger causality test.The empirical results show that stock market indices share low correlation among other and they are not highlyco-integrated whereas results of Granger causality test exhibit an unidirectional relationship among few stock marketsin short run.