What drive the regional integration of emerging stock markets?

Khaled Guesmi

Economics Bulletin, 2011, vol. 31, issue 2, A23

Abstract: This study explores the fundamental driving forces of regional equity market integration. The determinant factors are categorized into three dimensions: market attribute, economic fundamentals and world information. My sample consists of equity markets in 4 notable regional trading blocs: Latin America, Southeastern Asia, Southeastern Europe and Middle East over the period March 31, 1996-March 31, 2008. I measure market integration based on pricing error as proposed by Bhattacharya and Daouk (2002) and Adler and Qi (2003). Using multivariate BEKK-GARCH (1, 1) process and switching regime model, my results show that the time-varying degree of integration of Latin America, Southeastern Asia, Southeastern Europe region, satisfactorily are explained by the regional level of trade openness and market development. For the Middle East, individual-market volatility and inflation play a significant role in the integration process. The analysis of the financial integration also reveals that the degree of integration of equity markets considerably varies over time.

Keywords: Emerging Stock Market; Financial Integration; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: C3 C5 (search for similar items in EconPapers)
Date: 2011-05-12
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2011/Volume31/EB-11-V31-I2-A23.pdf (application/pdf)

Related works:
Journal Article: What Drives the Regional Integration of Emerging Stock Markets? (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-11-00280

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().