This study finds that the emerging stock markets of Asia and Latin America are closely interlinked. The stock market inter-linkages in the short run are stronger but less sustainable than the ones in the long run. Furthermore, the inter-linkages are relatively stronger and unstable for the more developed countries. Finally, only few markets have increased their level of integration with other markets over time. The study concludes that an investment strategy from the long run perspective is potentially more beneficial than the one based on short-term movements in market returns. The benefits from diversification are likely to he partially offset by the higher level of volatility in the markets that have weak correlation.
