Despite the globalization of economies, the movements in stock markets around the world are not integrated. This is mainly so because the economic environment in these markets is dissimilar. Low levels of comovement of stock prices offer investors a benefit from diversifying their holdings across the markets of various countries leading to lower risk. Since the 1980s, emerging stock markets have emerged as very exciting and promising areas for investment, especially because they are expected to generate high returns and to offer good portfolio diversification opportunities. After being beset...