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Time varying regional integration in emerging stock market

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Author Info

  • Khaled Guesmi

    ()
    (EconomiX, UMR CNRS 7166, University of Paris West Nanterre La Défense)

Abstract

Abstract This paper studies the regional stock market integration process. First, we estimate the time-varying world market risk price and the price of currency risk using an international CAPM with segmentation effects. Second, we study the time varying integration with Markov Switching Model. Finally, we relate the obtained results to important facts and economic events.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P101.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 2 ()
Pages: 1082-1094

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Handle: RePEc:ebl:ecbull:eb-11-00152

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Related research

Keywords: Exchange Risk Premium; International Financial Integration; Emerging Markets; Conditional International Capital Asset Pricing Model (ICAPM); Multivariate BEKK-GARCH; Markov Switching Model;

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References

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  1. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  2. Giorgio De Santis & Selahattin Imrohoroglu, 1994. "Stock returns and volatility in emerging financial markets," Discussion Paper / Institute for Empirical Macroeconomics 93, Federal Reserve Bank of Minneapolis.
  3. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
  4. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
  5. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
  6. Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005. "Market Integration and Contagion," The Journal of Business, University of Chicago Press, vol. 78(1), pages 39-70, January.
  7. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  8. Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
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Citations

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Cited by:
  1. Khaled Guesmi & Mohamed Hedi Arouri & Ilyes Abid & Frédéric Teulon, 2013. "On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?," Economics Bulletin, AccessEcon, vol. 33(1), pages 597-611.
  2. Khaled Guesmi, 2011. "What Drives the Regional Integration of Emerging Stock Markets?," Economics Bulletin, AccessEcon, vol. 31(3), pages 2603-2619.

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