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Do Implicit Barriers Matter for Globalization?

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Author Info

  • Francesca CARRIERI

    (ETH Zurich and Swiss Finance Institute)

  • Ines CHAIEB

    (University of Amsterdam)

  • Vihang ERRUNZA

    (McGill University)

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    Abstract

    Market liberalization may not result in global pricing or full market integration if implicit barriers are important. We use the conditional version of the Errunza and Losq (1985) model to estimate pricing of investable indices for 22 emerging markets and test this proposition. Our results show that local factors are priced and the implicit barriers are significantly associated with the integration measure. Specifically, better institutions, stronger corporate governance and more transparent markets would jointly contribute to a higher degree of integration by about 30 percent.

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    Bibliographic Info

    Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 10-55.

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    Length: 62 pages
    Date of creation:
    Date of revision:
    Handle: RePEc:chf:rpseri:rp

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    Web page: http://www.SwissFinanceInstitute.ch
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    Related research

    Keywords: International Asset Pricing; Emerging Markets; Market Integration; Liberalization; Globalization;

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