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Internationalization Versus Regionalization:in the Emerging Stock Markets

Author

Listed:
  • Virginie Coudert

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

  • Karine Herve
  • 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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Virginie Coudert & Karine Herve & Pierre Mabille, 2015. "Internationalization Versus Regionalization:in the Emerging Stock Markets," Post-Print hal-01410628, HAL.
    • Handle: RePEc:hal:journl:hal-01410628
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    Cited by:

    1. Katsiampa, Paraskevi, 2019. "An empirical investigation of volatility dynamics in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 322-335.
    2. Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "High frequency volatility co-movements in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 35-52.
    3. Soyoung Kim & Sunghyun Kim & Yoonseok Choi, 2018. "International capital mobility: regional versus global perspective," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 154(1), pages 157-176, February.
    4. Acikgoz, Turker, 2025. "Globalization and stock market efficiency," Finance Research Letters, Elsevier, vol. 85(PC).
    5. Stefano Alderighi, 2017. "A note on how to enhance liquidity in emerging markets by levering on trading participants," Economics Bulletin, AccessEcon, vol. 37(4), pages 2526-2532.

    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
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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