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Financial integration, economic instability and trade structure in emerging markets

  • Chambet, Anthony
  • Gibson, Rajna
Registered author(s):

    In this study, we estimate the level of financial integration using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk. We find that emerging markets still remain to a large extent segmented and that financial integration has decreased during the financial crises of the 1990s. We next investigate the relationship between a country's trade concentration and its level of financial integration. We find that countries with an undiversified trade structure have more integrated financial markets. Finally, our results suggest that countries less open to trade are more segmented.

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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 27 (2008)
    Issue (Month): 4 (June)
    Pages: 654-675

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    Handle: RePEc:eee:jimfin:v:27:y:2008:i:4:p:654-675
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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