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Research Article Open Access
The essential goal of this study is to compute the long run relationship between emerging market of India (SENSEX) with frontier markets of KSE 100 and Colombo stock exchange by taking weekly values from stock return prices for 2000-2014. The technique of Johanson co-integration, Granger causality test, and Variance Decomposition Test are applied. The results of this study reveal that emerging market of India (SENSEX) has no long run relationship with frontier markets (KSE, CSE). This study is helpful for investors to enhance their returns by diversifying the unsystematic risk at given level of profit. Furthermore, this study is productive for the portfolio managers who make investments in the SENSEX market and frontiers stock exchange (KSE100, CSE) with the aim to attain the high rate of profit.
Diversification, Emerging and frontier markets, Unit root test, Co-integration test, Jel classification: G10, G20, General finance, HRM, Microfinance, Multinational finance, Business Research, Corporate governance system, Financial Management services, Managerial accounting, Health Management, Logistics management , Entrepreneurship , CRM, BCM, Risk management