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L’intégration financière des marchés d’actions émergents : une analyse au niveau régional

  • Khaled Guesmi
  • Duc Khuong Nguyen

This paper attempts to evaluate the time-varying integration of emerging markets from a regional perspective, by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, global market risk premium, regional exchange-rate risk premium and local market risk premium. Main findings are as follows: i) the time-varying degree of integration of four emerging regions is satisfactorily explained by the regional level of trade openness and the regional stock mar- ket development; ii) the local market risk premium is found to explain more than 50% of total risk premium for emerging market returns; iii) conditional correlations usually underestimate and overstate the measure of time- varying market integration.

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-220.

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Length: 35 pages
Date of creation: 10 Apr 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-220
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