IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-01386052.html

Effects of financial turmoil on financial integration and risk premia in emerging markets

Author

Listed:
  • Salem Boubakri

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Cécile Couharde

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Hélène Raymond

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

The aim of this article is to analyze how financial crises affect the dynamics of international financial integration and of the risk premia in emerging markets. Accordingly, we estimate a variant of the International Asset Pricing Model developed by Carrieri et al. (2007), allowing for time-varying stock market integration, in which we include the foreign currency risk. Our sample consists of monthly data for 12 emerging stock markets over the period 1988M3–2015M3. We find that while the financial integration of emerging stock markets has registered short-term reversals episodes in countries that have been exposed to national or/and regional financial crises, it has decreased in most of the emerging countries of our sample since the global crisis. Moreover, the upward trend in financial integration has not reduced the local market risk premium component as much as could be expected. However, the recent global crisis has induced a reassessment of the world market risk premium for all emerging countries, highlighting the global nature of the crisis.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Salem Boubakri & Cécile Couharde & Hélène Raymond, 2016. "Effects of financial turmoil on financial integration and risk premia in emerging markets," Post-Print hal-01386052, HAL.
    • Handle: RePEc:hal:journl:hal-01386052
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Canh P. Nguyen & Christophe Schinckus & Thanh D. Su & Felicia H. L. Chong, 2022. "Determinants of stock market returns in emerging markets: The linkage between institutional quality and macro liquidity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4472-4486, October.
    2. Agudelo, Diego A. & Múnera, Daimer J., 2023. "Who are the vectors of contagion? Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    3. Gkillas, Konstantinos & Konstantatos, Christoforos & Tsagkanos, Athanasios & Siriopoulos, Costas, 2021. "Do economic news releases affect tail risk? Evidence from an emerging market," Finance Research Letters, Elsevier, vol. 40(C).
    4. Hadhri, Sinda & Ftiti, Zied, 2019. "Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?," Economic Systems, Elsevier, vol. 43(3).
    5. Cyriac Guillaumin & Salem Boubakri & Alexandre Silanine, 2020. "Do commodity price volatilities impact currency misalignments in commodity-exporting countries?," Economics Bulletin, AccessEcon, vol. 40(2), pages 1727-1739.
    6. Donadelli, M. & Gufler, I. & Paradiso, A., 2024. "Financial market integration: A complex and controversial journey," International Review of Financial Analysis, Elsevier, vol. 92(C).
    7. Hadhri, Sinda & Ftiti, Zied, 2017. "Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 39-60.
    8. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    9. Bai, Ye & Green, Christopher J., 2020. "Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets," Economic Modelling, Elsevier, vol. 92(C), pages 180-194.
    10. Rui Menezes & Sonia Bentes, 2016. "Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016," Papers 1610.00259, arXiv.org.
    11. Yao, Shujie & He, Hongbo & Chen, Shou & Ou, Jinghua, 2018. "Financial liberalization and cross-border market integration: Evidence from China's stock market," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 220-245.

    More about this item

    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
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-01386052. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.