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Internationalization versus Regionalisation in the Emerging Stock Markets

Author

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  • Virgine Coudert
  • Karine Hervé
  • Pierre Mabille

Abstract

Globalization has led financial markets to be more and more correlated across countries, especially between advanced and emerging countries. We propose to shed light on the issue of financial integration in emerging countries by resorting to complementary econometric approaches. For that, we draw a parallel between the results from a rolling window OLS regression - evaluating to what extent shocks on regional and developed stock markets are passed through to emerging markets - and the results from a trivariate BEKK-GARCH model assessing the dynamic of integration in emerging markets While regional integration is by and large a central characteristic of most emerging stock markets, the pattern of financial shocks transmission turns out to vary substantially across countries and over time.

Suggested Citation

  • Virgine Coudert & Karine Hervé & Pierre Mabille, 2013. "Internationalization versus Regionalisation in the Emerging Stock Markets," Working Papers 2013-08, CEPII research center.
  • Handle: RePEc:cii:cepidt:2013-08
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    References listed on IDEAS

    as
    1. Guesmi, Khaled & Nguyen, Duc Khuong, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," Economic Modelling, Elsevier, vol. 28(6), pages 2517-2527.
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    Cited by:

    1. Boubakri, Salem & Guillaumin, Cyriac, 2015. "Regional integration of the East Asian stock markets: An empirical assessment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 136-160.
    2. repec:spr:weltar:v:154:y:2018:i:1:d:10.1007_s10290-017-0300-6 is not listed on IDEAS
    3. repec:bor:bistre:v:17:y:2017:i:1:p:25-48 is not listed on IDEAS
    4. Ivanov, Ivan & Kabaivanov, Stanimir & Bogdanova, Boryana, 2016. "Stock market recovery from the 2008 financial crisis: The differences across Europe," Research in International Business and Finance, Elsevier, vol. 37(C), pages 360-374.
    5. repec:ebl:ecbull:eb-17-00648 is not listed on IDEAS
    6. repec:spr:jqecon:v:15:y:2017:i:3:d:10.1007_s40953-016-0062-3 is not listed on IDEAS
    7. Bank for International Settlements, 2014. "EME banking systems and regional financial integration," CGFS Papers, Bank for International Settlements, number 51.

    More about this item

    Keywords

    Time-varying integration; emerging markets; stock markets; multivariate; BEKKGARCH;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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