Financial integration, economic instability and trade structure in emerging markets

Anthony Chambet and Rajna Gibson

Journal of International Money and Finance, 2008, vol. 27, issue 4, 654-675

Abstract: In this study, we estimate the level of financial integration using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk. We find that emerging markets still remain to a large extent segmented and that financial integration has decreased during the financial crises of the 1990s. We next investigate the relationship between a country's trade concentration and its level of financial integration. We find that countries with an undiversified trade structure have more integrated financial markets. Finally, our results suggest that countries less open to trade are more segmented.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:27:y:2008:i:4:p:654-675

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