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Time varying regional integration in emerging stock market


  • Khaled Guesmi

    () (EconomiX, UMR CNRS 7166, University of Paris West Nanterre La Défense)


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.

Suggested Citation

  • Khaled Guesmi, 2011. "Time varying regional integration in emerging stock market," Economics Bulletin, AccessEcon, vol. 31(2), pages 1082-1094.
  • Handle: RePEc:ebl:ecbull:eb-11-00152

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    References listed on IDEAS

    1. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    2. De Santis, Giorgio & imrohoroglu, Selahattin, 1997. "Stock returns and volatility in emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 561-579, August.
    3. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
    4. Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005. "Market Integration and Contagion," The Journal of Business, University of Chicago Press, vol. 78(1), pages 39-70, January.
    5. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    6. Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
    7. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-157, March.
    8. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
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    Cited by:

    1. Khaled Guesmi & Mohamed Hedi Arouri & Ilyes Abid & Frédéric Teulon, 2013. "On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?," Economics Bulletin, AccessEcon, vol. 33(1), pages 597-611.
    2. Khaled GUESMI, 2011. "What drive the regional integration of emerging stock markets?," Economics Bulletin, AccessEcon, vol. 31(2), pages 1-23.

    More about this item


    Exchange Risk Premium; International Financial Integration; Emerging Markets; Conditional International Capital Asset Pricing Model (ICAPM); Multivariate BEKK-GARCH; Markov Switching Model;

    JEL classification:

    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • F3 - International Economics - - International Finance


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