Time Varying Equity Market Beta as an Index of Financial Openness?

Syed Kumail Abbas Rizvi, Bushra Naqvi and Christian Bordes ()
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Syed Kumail Abbas Rizvi: Faculty of Business Administration - Lahore School of Economics
Bushra Naqvi: SDSB - Suleman Dawood School of Business - LUMS - Lahore University of Management Sciences
Christian Bordes: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: From the data consisting of over a century, there has been a significant relationship between capital account liberalization and increasing correlation among national stock markets of different countries (Quinn and Voth, 2008). In this research we propose a price based de facto measure of financial integration/openness that can be used to rank selected Asian economies solely on the basis of standardized co-movements of their equity markets in relation to the representative world markets. We call this new measure as time varying equity market beta (TVEMB). Significant degree of correlation with some major and complex indices and the ability to show dynamic de facto situations of financial openness, supported by several evidences, allow us to use TVEMB as an alternative measure in conjunction with other indicators of financial openness/integration.

Keywords: financial openness; financial integration; stock market integration; Asian economies (search for similar items in EconPapers)
Date: 2013-06
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Citations: View citations in EconPapers (4)

Published in Applied Financial Economics, 2013, 23 (10-12), pp.921-928. ⟨10.1080/09603107.2013.778946⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01052655

DOI: 10.1080/09603107.2013.778946

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