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Exchange Rate Regimes, Globalisation And The Cost Of Capital In Emerging Markets

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Abstract

We use a multifactor asset pricing model for currency, bond and stocks for fourteen emerging markets over the period from 1997 to middle 2001 to investigate the effect of the exchange rate regime on the cost of capital, the integration of financial emerging markets and the issue of contagion. We find no evidence that a fixed exchange rate regime has helped to reduce the cost of capital and we are not able to reject that emerging equity markets are integrated. Finally, there is evidence that the transmission of shocks is beyond of what can be explained by fundamentals or common shocks.

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Bibliographic Info

Paper provided by CEMFI in its series Working Papers with number wp2004_02.

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Date of creation: Jan 2004
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Handle: RePEc:cmf:wpaper:wp2004_02

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Keywords: Financial crisis; contagion; time-varying volatility; financial integration; internacional asset pricing.;

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Cited by:
  1. Brian M Lucey & Cal Muckley, 2011. "Robust Global Stock Market Interdependencies," The Institute for International Integration Studies Discussion Paper Series iiisdp353, IIIS.

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