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The evolution of stock market integration in the post-liberalization period - A look at Latin America

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  • Hunter, Delroy M.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 25 (2006)
    Issue (Month): 5 (August)
    Pages: 795-826

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    Handle: RePEc:eee:jimfin:v:25:y:2006:i:5:p:795-826

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    Web page: http://www.elsevier.com/locate/inca/30443

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    1. Peter Blair Henry, 2000. "Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices," Journal of Finance, American Finance Association, vol. 55(2), pages 529-564, 04.
    2. Bailey, Warren & Chung, Y. Peter, 1995. "Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 541-561, December.
    3. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, 04.
    4. Adler, Michael & Dumas, Bernard, 1983. " International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-84, June.
    5. Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002. "Dating the integration of world equity markets," Journal of Financial Economics, Elsevier, vol. 65(2), pages 203-247, August.
    6. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
    7. Mittoo, Usha R, 1992. " Additional Evidence on Integration in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 47(5), pages 2035-54, December.
    8. Jithendranathan, Thadavillil & Nirmalanandan, T. R. & Tandon, Kishore, 2000. "Barriers to international investing and market segmentation: Evidence from Indian GDR market," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 399-417, July.
    9. Zhaohui Chen & Mohsin S. Khan, 1997. "Patterns of Capital Flows to Emerging Markets," IMF Working Papers 97/13, International Monetary Fund.
    10. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
    11. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2000. "Emerging Equity Markets and Economic Development," NBER Working Papers 7763, National Bureau of Economic Research, Inc.
    12. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    13. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June.
    14. Hargis, Kent & Ramanlal, Pradipkumar, 1998. "When Does Internationalization Enhance the Development of Domestic Stock Markets?," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 263-292, July.
    15. David E. Altig & Owen F. Humpage, 1999. "Dollarization and monetary sovereignty: the case of Argentina," Economic Commentary, Federal Reserve Bank of Cleveland, issue Sep.
    16. Warren Bailey & Kalok Chan & Y. Peter Chung, 2000. "Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence," Journal of Finance, American Finance Association, vol. 55(6), pages 2693-2717, December.
    17. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
    18. Kim, E Han & Singal, Vijay, 2000. "Stock Market Openings: Experience of Emerging Economies," The Journal of Business, University of Chicago Press, vol. 73(1), pages 25-66, January.
    19. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc.
    20. Basak, Suleyman, 1996. "An Intertemporal Model of International Capital Market Segmentation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(02), pages 161-188, June.
    21. Gultekin, Mustafa N & Gultekin, N Bulent & Penati, Alessandro, 1989. " Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets," Journal of Finance, American Finance Association, vol. 44(4), pages 849-69, September.
    22. Henry, Peter Blair, 2000. "Do stock market liberalizations cause investment booms?," Journal of Financial Economics, Elsevier, vol. 58(1-2), pages 301-334.
    23. Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
    24. Kim, E Han & Singal, Vijay, 2000. "Erratum [Stock Market Openings: Experience of Emerging Economies]," The Journal of Business, University of Chicago Press, vol. 73(4), pages na, October.
    25. Bracker, Kevin & Docking, Diane Scott & Koch, Paul D., 1999. "Economic determinants of evolution in international stock market integration," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 1-27, January.
    26. De Santis, Giorgio & Gerard, Bruno, 1998. "How big is the premium for currency risk?," Journal of Financial Economics, Elsevier, vol. 49(3), pages 375-412, September.
    27. Alexander, Gordon J & Eun, Cheol S & Janakiramanan, S, 1987. " Asset Pricing and Dual Listing on Foreign Capital Markets: A Note," Journal of Finance, American Finance Association, vol. 42(1), pages 151-58, March.
    28. Giorgio Ragazzi, 1973. "Theories of the Determinants of Direct Foreign Investment (Théorie des facteurs qui déterminent l'investissement étranger direct) (Teorías de los determinantes de la inversión extranjer," IMF Staff Papers, Palgrave Macmillan, vol. 20(2), pages 471-498, July.
    29. Jorion, Philippe & Schwartz, Eduardo, 1986. " Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 41(3), pages 603-14, July.
    30. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
    31. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 527-66.
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    Cited by:
    1. Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Chia-Hao Lee & Pei-I Chou, 2012. "Trading Activity and Financial Market Integration," The Financial Review, Eastern Finance Association, vol. 47(3), pages 589-616, 08.
    3. Thapa, Chandra & Poshakwale, Sunil S., 2012. "Country-specific equity market characteristics and foreign equity portfolio allocation," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 189-211.
    4. Ping Wang & Tomoe Moore, 2008. "Stock Market Integration For The Transition Economies: Time-Varying Conditional Correlation Approach," Manchester School, University of Manchester, vol. 76(s1), pages 116-133, 09.
    5. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 88-105.
    6. Fedorova, Elena & Vaihekoski, Mika, 2008. "Global and local sources of risk in Eastern European emerging stock markets," BOFIT Discussion Papers 27/2008, Bank of Finland, Institute for Economies in Transition.

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