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Co-Mouvements des marchés boursiers émergents :Intégration ou contagion ?

Listed author(s):
  • Mohamed El Hedi Arouri
  • Fredj Jawadi

Dans cet article, les co-mouvements entre les marchés boursiers émergents sont étudiés dans leur double dimension :l’intégration et la contagion. Nous avons mis en évidence que les cas extrêmes de segmentation stricte, d’intégration globale parfaite et d’intégration régionale parfaite sont généralement rejetées. Il s’ensuit que les rentabilités boursières dans les marchés émergents réagissent aux facteurs locaux, régionaux et globaux de risque. En outre, nos résultats n’ont pas permis de rejeter l’hypothèse de contagion au cours de la crise mexicaine et de la crise asiatique. / In this article, co-movements between emerging stock markets are investigated in their double dimension: integration and contagion. We show that strict segmentation, perfect global and regional integration hypotheses are generally rejected. Thus, stock returns in emerging markets react to local, regional and global risk factors. In addition, our results do not reject the hypothesis of contagion during the Mexican and the Asian crisis.

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Article provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.

Volume (Year): 50 (2007)
Issue (Month): 3 ()
Pages: 315-333

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Handle: RePEc:bxr:bxrceb:2013/80347
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