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Liberalization and Stock Market Co-Movement between Emerging Economies

  • Michel Beine
  • Bertrand Candelon

In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time-varying cross-country correlations allows the econometric investigation to be performed using a panel data framework, raising hence the quality of the statistical inference. Our results offer strong support in favor of a positive impact of trade and financial liberalization reforms on the degree of cross-country stock market linkages.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2007/wp-cesifo-2007-10/cesifo1_wp2131.pdf
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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 2131.

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Date of creation: 2007
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Handle: RePEc:ces:ceswps:_2131
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