A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets

This study investigates the patterns of integration emerging and frontier equity markets with US stock market during period 2002–2014 characterised by financial turmoil instability. To add rigour to study, overcome limitations simple correlation analysis integration, produce more robust results, we propose a nested analytical approach based on three-tiered research design. The first level uses smooth transition conditional correlations among US, emerging, markets. second tier results creating different international portfolios, which, alternative investment strategies, account for time-varying exploit scope diversification less integrated Finally, last returns risks these portfolios applies structural models explore characteristics in turbulent times. three approaches indicate that global crisis has produced permanent increase degree Conversely, crisis's effect seems have been only temporary case Despite changes brought crisis, is considerably significant than novelty this methodological enables us provide some original contributions empirical are relevant investors