Resumen de Returns, volatilities, and correlations across mature, regional, and frontier markets: : evidence from South Asia

Abu S. Amin, Lucjan T. Orlowski

• We investigate returns, volatilities, and correlations across mature, dominant regional, and frontier equity markets. Standard & Poor's 500 is chosen as a mature equity market; India is chosen as a dominant regional market; and Bangladesh, Pakistan, and Sri Lanka are chosen as frontier markets. Our empirical tests show that the frontier markets remain fundamentally decoupled from the mature markets during normal market periods. During turbulent times, the contagion effects from the mature to the frontier markets become more pronounced. The results suggest that the dominant regional market plays a key role in disseminating shocks across the frontier markets during normal periods; during the turbulent recent financial crisis period, a similar contagion is not observed.