The world is shrinking: Evidence for stock market convergence

William Shambora () and Shamila Jayasuriya ()
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William Shambora: Ohio University
Shamila Jayasuriya: Ohio University

Economics Bulletin, 2008, vol. 7, issue 14, 1-12

Abstract: The relationship between eleven emerging stock markets and the U.S. stock market is examined. The beta for each market is estimated under a GARCH model designed to account for time-varying and exchange rate volatility. Entire period as well as pre- and post-liberalization sub-period models are estimated. Most (nine) of the markets show evidence of stock market convergence five markets have betas not distinguishable from unity. The two markets that exhibit divergence still show significant correlation with the U.S. market.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 2008-10-14
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Citations: View citations in EconPapers (2)

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