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Financial Integration of Large- and Small-Cap Stocks in Emerging Markets

Author

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  • Ming-Chieh Wang
  • Ming Fang
  • Jin-Kui Ye

Abstract

This study examines the financial integration of large- and small-cap stocks in twenty-three emerging markets to determine their degree of market integration with the world market. The international asset pricing model cannot be rejected for most large-cap stock portfolios, but it is rejected for small-cap stock portfolios. The findings also demonstrate that super-large-cap stocks have the fewest pricing errors and their global financial integration has increased in recent years. In sum, the empirical results indicate that global market integration is primarily associated with the super-large-cap stocks of large emerging markets.

Suggested Citation

  • Ming-Chieh Wang & Ming Fang & Jin-Kui Ye, 2013. "Financial Integration of Large- and Small-Cap Stocks in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S4), pages 17-31, September.
    • Handle: RePEc:mes:emfitr:v:49:y:2013:i:s4:p:17-31
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    Cited by:

    1. Aditya Keshari & Amit Gautam, 2022. "Empirical Testing of Co-integration of International Financial Markets with Reference to India, the USA, Japan, and Hong Kong," Jindal Journal of Business Research, , vol. 11(1), pages 34-43, June.
    2. Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs," Economic Systems, Elsevier, vol. 39(2), pages 253-268.

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