Time varying regional integration in emerging stock market

Khaled Guesmi

Economics Bulletin, 2011, vol. 31, issue 2, 1082-1094

Abstract: Abstract This paper studies the regional stock market integration process. First, we estimate the time-varying world market risk price and the price of currency risk using an international CAPM with segmentation effects. Second, we study the time varying integration with Markov Switching Model. Finally, we relate the obtained results to important facts and economic events.

Keywords: Exchange Risk Premium; International Financial Integration; Emerging Markets; Conditional International Capital Asset Pricing Model (ICAPM); Multivariate BEKK-GARCH; Markov Switching Model (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 2011-04-10
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Citations: View citations in EconPapers (2)

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