Global Journal of Management and Business Research, A: Administration and Management, Volume 21 Issue 12

within the Middle East and North African (MENA) countries region still yield substantial intraregional diversification benefits and suggest the inclusion of regional equity in a global portfolio. In addition, Jorg opinioned that Gulf Cooperation Council (GCC) stock markets are likely to achieve the highest level of homogeneity within the MENA region, as its economies are increasingly synchronized in preparation for an economic union and may lead to a greater level of self- sufficiency of the regional economies which could translate into the manifestation of the currently low external stock market dependency. Kedarnath Mukharjee and RK Mishra (2007) studied how Indian equity markets responded to the world markets movements and tried to examine the interdependencies of markets worldwide by considering daily closing prices of all the major equity indices for a period of 16 years starting from 1990 to 2005. Twenty- three countries are taken for the study to find co- movements of prices among the markets using Geweke measures of feedback. The annual feedback measures indicated that a significant same day relationship among the stock markets in India with that of almost all other foreign countries considered in the study and also found that there is a degree of integration among the markets over some time, resulting in a higher co-movement of prices among markets and therefore higher market efficiency at the international market scenario. Shaista Wasiuzzaman and Lim Ai Li (2009) examined whether co-movements between stock markets exist for four stock markets included in this study: Malaysia, Singapore, the US, and Japan. The indices used are Kuala Lumpur Composite Index (KLCI), Straits Times Index (STI), Standard and Poor's 500 (S&P 500), and Nikkei 225 for Malaysia, Singapore, the US, and Japan, respectively. The sample has been considered based on the liquidity criterion measured by a stock's average daily traded value. The period of investigation spans January 2000-December 2006. The observations consist of the daily returns of each stock market. Daily returns are used instead of weekly or monthly returns because daily returns are more capable of capturing all possible interactions. The study used three methods to examine the linkages or co- movements, namely, correlation analysis, cointegration analysis, and Granger causality test. The results of the correlation analysis suggest that financial market linkages are weak among the four countries undertaken in this study. Cointegration tests reveal that there is a long-run relationship as there is at most a single cointegrating vector. Finally, the Granger causality test shows that most stock markets influence the other stock markets. Overall, the four stock markets seem to have financial market linkages or co-movements. Preeti Sharma (2011) studied the issue of co- movement between Asian emerging stock markets and developed economies using cointegration and correlations in the index returns using Six years' weekly data of 8 Asian Stock Markets and United States of America for the period of six years, spans from January 2002 to December 2007. The author found that among the selected Asian markets, the highest positive correlation is found between Singapore and the Philippines, followed by Singapore and Malaysia and the Philippines and Malaysia. This signifies that Singapore, the Philippines, and Malaysia are the economies whose stock markets usually move in tandem. Japan and China, followed by the United States of America and China, have the most minor correlation among the sample. But as the economies are undergoing different reforms and fundamentals keep on changing, the author cautioned that due care should be taken while making investment decisions. Searat Ali et al. (2011) study investigated the co-movement of Pakistan's Equity Market with the markets of India, China, Indonesia, Singapore, Taiwan, Malaysia, Japan, USA, and the UK by using a cointegration test on monthly stock prices from the period of July 1998 to June 2008. The results disclosed that there is no co-movement of Pakistan's equity market with the UK, USA, Taiwan, Malaysia, and Singapore markets. In contrast, the stock prices of the Pakistan equity market move together with the stock prices of India, China, Japan, and Indonesia; hence there is no scope of risk minimization for investors through diversification of international markets in these countries. Furthermore, the authors found that the role of the stock exchange structure is not found in the co-movement of the Pakistan stock market with the selected stock markets. Razan Salem et al. (2011) focused on examining significant portfolio benefits diversification internationally, especially for middle east investors. The authors considered developed markets like USA, Germany, and Japan and a few developing markets, including Oman, for the study by taking daily data from 2008 to 2010. By using statistical tools like correlation and partial correlation, it was found that investors in the middle east can enjoy the benefits of international portfolio diversification despite regional political uncertainties and uncertainties at the global level, including financial. The authors recommended that middle-east investors consider including Brazil, Jordan, Japan, and Oman markets as part of constructing an international portfolio. Rajesh Chakrabarti examined the nature of regional inter-dependence among selected Asian stock markets and that among selected European markets before and during the Asian crisis while looking at both the "spillover" angle of stock market interrelationship as well as the evolution of the correlation structure over time. The data consists of daily close-to-close returns for eight East Asian developing countries and eight West European developed countries. The East Asian 15 Global Journal of Management and Business Research Volume XXI Issue XII Version I Year 2021 ( ) A © 2021 Global Journals Design of Portfolio using Multivariate Analysis