Time varying regional integration in emerging stock market
Abstract This paper studies the regional stock market integration process. First, we estimate the time-varying world market risk price and the price of currency risk using an international CAPM with segmentation effects. Second, we study the time varying integration with Markov Switching Model. Finally, we relate the obtained results to important facts and economic events.
Volume (Year): 31 (2011)
Issue (Month): 2 ()
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