Abstract:
This research examines sector-wise integration of two Asian emerging and two world leading stock markets to determine possible portfolio diversification implications. Analysis of the study achieved using VAR based Causality/Block Exogeneity Wald Tests and Forecast Error Variance Decomposition for a data period starting from 4th May 2009 to 29th August 2019. The short-run relationship between sectoral indices returns of China, India and UK are considerably limited. As a result of this, the prospects of sectoral portfolio diversification are not completely declined in these markets. The dominating role of USA over other markets indices derived invisible but indeed throughout the findings UK market indices does have an influence over other markets sectoral returns.
