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Table 2 Panel cointegration test results relating to correlation based international portfolios: a summary

From: Is a correlation-based investment strategy beneficial for long-term international portfolio investors?

 

Asia

LA

MENA

CEE

 

1

2

3

1

2

3

1

2

3

1

2

3

Model 1

Yellow portfolio

*

     

*

     

Blue portfolio

*

  

*

  

*

 

*

*

  

Purple portfolio

*

 

*

*

 

*

*

 

*

*

 

*

Green portfolio

     

*

*

 

*

–

  

Red portfolio

*

    

*

*

 

*

*

  

Model 2

Yellow portfolio

*

           

Blue portfolio

*

     

*

     

Purple portfolio

*

     

*

  

*

*

 

Green portfolio

*

     

*

 

*

   

Red portfolio

*

     

*

     

Model 3

Yellow portfolio

*

*

 

*

*

 

*

*

  

*

 

Blue portfolio

*

*

 

*

*

 

*

*

 

*

*

 

Purple portfolio

*

*

 

*

*

 

*

*

 

*

*

*

Green portfolio

*

*

 

*

*

 

*

*

 

*

*

 

Red portfolio

*

*

*

*

*

*

*

*

*

*

*

 

Model 4

Yellow portfolio

*

     

*

     

Blue portfolio

*

     

*

     

Purple portfolio

*

     

*

  

*

*

*

Green portfolio

*

     

*

 

*

   

Red portfolio

*

 

*

  

*

*

 

*

   

Model 5

Yellow portfolio

*

     

*

     

Blue portfolio

*

  

*

        

Purple portfolio

*

  

*

  

*

  

*

 

*

Green portfolio

*

  

*

  

*

     

Red portfolio

*

 

*

*

 

*

*

     
  1. For the four emerging market groups, this table summarizes results (significant at the 5% or better) from three cointegration tests: (1) Kao (1999); (2) Maddala and Wu (1999); and (3) Pedroni (1999, 2004). The summaries relate to relationships depicted in models (1–5). Each portfolio in column 1 comprises of (j) markets based on the correlation between (i) nations from one of the four regions and (j) markets from all four regions (excluding i). Blue portfolio covers correlation between (i) and (j) markets of 0.2 or lower; Purple portfolio captures correlation between 0.2 and 0.3; Green portfolio covers correlation between 0.4 and 0.5; the Red portfolio stock consists of correlations of 0.6 or more
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