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Co-Mouvements des marchés boursiers émergents :Intégration ou contagion ?

Author

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  • Mohamed El Hedi Arouri
  • Fredj Jawadi

Abstract

Dans cet article, les co-mouvements entre les marchés boursiers émergents sont étudiés dans leur double dimension :l’intégration et la contagion. Nous avons mis en évidence que les cas extrêmes de segmentation stricte, d’intégration globale parfaite et d’intégration régionale parfaite sont généralement rejetées. Il s’ensuit que les rentabilités boursières dans les marchés émergents réagissent aux facteurs locaux, régionaux et globaux de risque. En outre, nos résultats n’ont pas permis de rejeter l’hypothèse de contagion au cours de la crise mexicaine et de la crise asiatique. / In this article, co-movements between emerging stock markets are investigated in their double dimension: integration and contagion. We show that strict segmentation, perfect global and regional integration hypotheses are generally rejected. Thus, stock returns in emerging markets react to local, regional and global risk factors. In addition, our results do not reject the hypothesis of contagion during the Mexican and the Asian crisis.

Suggested Citation

  • Mohamed El Hedi Arouri & Fredj Jawadi, 2007. "Co-Mouvements des marchés boursiers émergents :Intégration ou contagion ?," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 315-333.
    • Handle: RePEc:bxr:bxrceb:2013/80347
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    Cited by:

    1. Souhir Chlibi & Fredj Jawadi & Mohamed Sellami, 2016. "Analyzing Heterogeneous Stock Price Comovements Through Hybrid Approaches," Open Economies Review, Springer, vol. 27(3), pages 541-559, July.

    More about this item

    Keywords

    Co-mouvements/Co-movements; contagion/contagion; marchés émergents et MEDAF/emerging markets and CAPM;
    All these keywords.

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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