Skip to main content
×
Home
    • Aa
    • Aa
  • Get access
    Check if you have access via personal or institutional login
  • Cited by 108
  • Cited by
    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.

    Al Nasser, Omar M. and Hajilee, Massomeh 2016. Integration of emerging stock markets with global stock markets. Research in International Business and Finance, Vol. 36, p. 1.


    Alotaibi, Abdullah R. and Mishra, Anil V. 2016. Time varying international financial integration for GCC stock markets. The Quarterly Review of Economics and Finance,


    Azher, Sara and Iqbal, Javed 2016. Pricing of foreign exchange risk and market segmentation: Evidence from Pakistan's equity market. Journal of Asian Economics, Vol. 43, p. 37.


    Beaulieu, Marie-Claude Gagnon, Marie-Hélène and Khalaf, Lynda 2016. Less is more: Testing financial integration using identification-robust asset pricing models. Journal of International Financial Markets, Institutions and Money,


    Ben Rejeb, Aymen and Arfaoui, Mongi 2016. Financial market interdependencies: A quantile regression analysis of volatility spillover. Research in International Business and Finance, Vol. 36, p. 140.


    Boamah, Nicholas Addai Watts, Edward J. and Loudon, Geoffrey 2016. Investigating temporal variation in global and regional integration of African stock markets. Journal of Multinational Financial Management,


    Boubakri, Salem Couharde, Cécile and Raymond, Hélène 2016. Effects of financial turmoil on financial integration and risk premia in emerging markets. Journal of Empirical Finance, Vol. 38, p. 120.


    Lee, Hsiu-Chuan Hsu, Chih-Hsiang and Lee, Yun-Huan 2016. Location of trade, return comovements, and diversification benefits: Evidence from Asian country ETFs. The North American Journal of Economics and Finance, Vol. 37, p. 279.


    Mimouni, Karim Charfeddine, Lanouar and Al-Azzam, Moh'd 2016. Do oil producing countries offer international diversification benefits? Evidence from GCC countries. Economic Modelling, Vol. 57, p. 263.


    Mobarek, Asma Muradoglu, Gulnur Mollah, Sabur and Hou, Ai Jun 2016. Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. Journal of Financial Stability, Vol. 24, p. 1.


    Mollah, Sabur Quoreshi, A.M.M. Shahiduzzaman and Zafirov, Goran 2016. Equity market contagion during global financial and Eurozone crises: Evidence from a dynamic correlation analysis. Journal of International Financial Markets, Institutions and Money, Vol. 41, p. 151.


    N. Biktimirov, Ernest and Zhou, Haigang 2016. Cyclical comovements of the world equity indexes. Managerial Finance, Vol. 42, Issue. 5, p. 472.


    Poshakwale, Sunil S. and Mandal, Anandadeep 2016. Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market. Review of Quantitative Finance and Accounting,


    Valdes, Rodrigo Von Cramon-Taubadel, Stephan and Engler, Alejandra 2016. What drives stock market integration? An analysis using agribusiness stocks. Agricultural Economics, Vol. 47, Issue. 5, p. 571.


    Wang, Ming-Chieh and Ye, Jin-Kui 2016. The relationship between covariance risk and size effects in emerging equity markets. Managerial Finance, Vol. 42, Issue. 3, p. 174.


    Bae, Kee-Hong and Zhang, Xin 2015. The Cost of Stock Market Integration in Emerging Markets. Asia-Pacific Journal of Financial Studies, Vol. 44, Issue. 1, p. 1.


    Balli, Faruk Balli, Hatice O. Jean Louis, Rosmy and Vo, Tuan Kiet 2015. The transmission of market shocks and bilateral linkages: Evidence from emerging economies. International Review of Financial Analysis, Vol. 42, p. 349.


    Balli, Faruk Hajhoj, Hassan Rafdan Basher, Syed Abul and Ghassan, Hassan Belkacem 2015. An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries. International Review of Economics & Finance, Vol. 39, p. 311.


    Bartram, Söhnke M. and Wang, Yaw-Huei 2015. European financial market dependence: An industry analysis. Journal of Banking & Finance, Vol. 59, p. 146.


    BATTEN, JONATHAN A. MORGAN, PETER and SZILAGYI, PETER G. 2015. TIME VARYING ASIAN STOCK MARKET INTEGRATION. The Singapore Economic Review, Vol. 60, Issue. 01, p. 1550006.


    ×
  • Journal of Financial and Quantitative Analysis, Volume 42, Issue 4
  • December 2007, pp. 915-940

Characterizing World Market Integration through Time

Abstract
Abstract

International asset pricing models suggest that barriers to portfolio flows and availability of market substitutes affect the degree and time variation of world market integration. We use GARCH-in-mean methodology to assess the evolution in market integration for eight emerging markets over the period 1977–2000. Our results suggest that while local risk is still a relevant factor in explaining time variation of emerging market returns, none of the countries appear to be completely segmented. We find that there are substantial crossmarket differences in the degree of integration. The evolution toward more integrated financial markets is apparent although at times we do observe reversals. In addition, we provide clear evidence on the impropriety of directly using correlations of market-wide index returns as a measure of market integration. Finally, financial market development and financial liberalization policies play important roles in integrating emerging markets.

Copyright
Linked references
Hide All

This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.

W. Bailey , and J. Jagtiani . “Foreign Ownership Restrictions and Premiums for International Investment: Some Evidence from the Thai Capital Market.” Journal of Financial Economics, 36 (1994), 5788.

S. Basak An Intertemporal Model of Segmentation.” Journal of Financial and Quantitative Analysis, 31 (1995), 161188.

G. Bekaert Market Integration and Investment Barriers in Emerging Equity Markets.” World Bank Economic Review, 9 (1995), 75107.

G. Bekaert , and C. Harvey . “Time-VaryingWorldMarket Integration.” Journal of Finance, 50 (1995), 403444.

G. Bekaert , and C. Harvey . “Emerging Equity Market Volatility.” Journal of Financial Economics, 43 (1997), 2977.

G. Bekaert , and C. Harvey . “Foreign Speculator and Emerging Equity Markets.” Journal of Finance, 55 (2000), 565613.

G. Bekaert , and C. Harvey . “Emerging Markets Finance.” Journal of Empirical Finance, 10 (2003), 355.

G. Bekaert ; C. Harvey ; and R. Lumsdaine . “Dating the Integration ofWorld EquityMarkets.” Journal of Financial Economics, 65 (2002), 203247.

G. Bekaert ; C. Harvey ; and A. Ng . “Market Integration and Contagion.” Journal of Business, 78 (2005), 3970.

G. Bekaert , and G. Wu . “Asymmetric Volatility and Risk in Equity Markets.” Review of Financial Studies, 13 (2000), 142.

U. Bhattacharya , and H. Daouk . “TheWorld Price of Insider Trading.” Journal of Finance, 57 (2002), 75108.

T. Bollerslev , and J. Wooldridge . “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariance.” Economic Reviews, 11 (1992), 143172.

D. C. Cho ; C. Eun ; and L. Senbet . “International Arbitrage Pricing Theory: An Empirical Investigation.” Journal of Finance, 41 (1986), 313329.

R. Cumby , and A. Khanthavit . “A Markov Switching Model ofMarket Integration.” Emerging Market Capital Flows, Richard M. Levich , ed. London: Kluwer Academic Publishers (1998), 237257.

F. de Jong , and F. de Roon . “Time-Varying Market Integration and Expected Returns in Emerging Markets.” Journal of Financial Economics, 78 (2005), 583613.

G. De Santis , and B. Gerard . “International Asset Pricing and Portfolio Diversification with Time Varying Risk.” Journal of Finance, 52 (1997), 18811912.

A. Demirguc-Kunt , and R. Levine . “Stock Market Development and Financial Intermediaries: Stylized Facts.” World Bank Economic Review, 10 (1996), 291322.

B. Dumas ; C. Harvey ; and P. Ruiz . “Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?Journal of International Money and Finance, 22 (2003), 777811.

B. Dumas , and B. Solnik . “The World Price of Foreign Exchange Risk.” Journal of Finance, 50 (1995), 445479.

V. Errunza ; K. Hogan ; and M. W. Hung . “Can the Gains from International Diversification be Achieved without Trading Abroad?Journal of Finance, 54 (1999), 20752107.

V. Errunza , and E. Losq . “International Asset Pricing under Mild Segmentation: Theory and Test.” Journal of Finance, 40 (1985), 105124.

V. Errunza , and E. Losq . “Capital Flow Controls, International Asset Pricing and Investors' Welfare: A Multi Country Framework.” Journal of Finance, 44 (1989), 10251037.

V. Errunza ; E. Losq ; and P. Padmanabhan . “Tests of Integration, Mild Segmentation and Segmentation Hypotheses.” Journal of Banking and Finance, 16 (1992), 949972.

C. Eun , and S. Janakiramanan . “A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership.” Journal of Finance, 41 (1986), 897914.

G. Hardouvelis ; D. Malliaropulos ; and R. Priestley . “EMU and European Stock Market Integration.” Journal of Business, 79 (2006), 365392.

C. Harvey The World Price of Covariance Risk.” Journal of Finance, 46 (1991), 111157.

P. B. Henry Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices.” Journal of Finance, 55 (2000), 529564.

P. Jorion , and E. Schwartz . “Integration versus Segmentation in the Canadian Stock Market.” Journal of Finance, 41 (1986), 603613.

W. Newey , and K. West . “A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 55 (1987), 703708.

P. Padmanabhan Investment Barriers and International Asset Pricing.” Review of Quantitative Finance and Accounting, 2 (1992), 299319.

R. Rajan , and L. Zingales . “The Great Reversals: The Politics of Financial Development in the 20th Century.” Journal of Financial Economics, 69 (2003), 550.

S. Sarkissian , and M. Schill . “The Overseas Listing Decision: New Evidence of the Proximity Preference.” Review of Financial Studies, 17 (2004), 769809.

P. Sellin , and I. Werner . “International Barriers in General Equilibrium.” Journal of International Economics, 34 (1993), 21072138.

D. F. Shanno On Broyden-Fletcher-Goldfarb-Shanno Method.” Journal of Optimization Theory and Applications, 46 (1985), 8794.

B. Solnik The International Pricing of Risk: An Empirical Investigation of theWorld Capital Market Structure.” Journal of Finance, 29 (1974), 365378.

R. Stehle An Empirical Test of the Alternative Hypotheses of National and International Pricing of Risky Assets.” Journal of Finance, 32 (1977), 493502.

R. Stulz On the Effects of Barriers to International Investment.” Journal of Finance, 36 (1981), 923934.

R. Stulz , and W. Wasserfallen . “Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization.” Review of Financial Studies, 8 (1995), 10191058.

H. White Maximum Likelihood Estimation of Misspecified Models.“ Econometrica, 50 (1982), 125.

Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Journal of Financial and Quantitative Analysis
  • ISSN: 0022-1090
  • EISSN: 1756-6916
  • URL: /core/journals/journal-of-financial-and-quantitative-analysis
Please enter your name
Please enter a valid email address
Who would you like to send this to? *
×