Intervalling effect on intertemporal stability among Asian emerging markets and developed markets

A direct test on the equality of variance-covariance matrices and correlation matrices is used to study the intervalling effect on the intertemporal stability in stock return relationships in six emerging Asian markets and four developed markets. Empirical analysis indicates that diversifying into the Asian emerging markets is beneficial and that correlation matrices of stock returns are more stable than variance-covariance matrices. The patterns of stock market co-movement are more stable as the time period considered becomes shorter.