Integration and efficiency for local and regional equity markets during the global financial crisis

Lamia Sbai and Siwar Ellouz

Journal of Global Economy, 2020, vol. 16, issue 3, 14-31

Abstract: The aim of this paper is to study the link between the market integration and informational efficiency in the local and regional market, while taking into account the global financial crisis. In fact, we employ the methodological approach adopted by Hooy and Lim (2013). On a sample of 29 countries and 4 regions over the period between 1994 and 2016 divided into three phases: the pre- crisis period, 1994-2006, the crisis period, 2007-2009 and the post-crisis period, 2010-2016. Our results showed that the markets that are more integrated with the US market are also more efficient, which implies that this association is positive and significant in the sub-sample of local and regional emerging stock markets. On the other hand, this association lost its explanatory power during the crisis period as well as when the emerging stock markets is more volatile than their developed counterparts. The results also revealed that the political efforts being made for the market integration and informational efficiency should be complementary as the two policy goals are closely related

Keywords: Informational efficiency; Stock market integration; Emerging markets; Financial crises; financial liberalization (search for similar items in EconPapers)
JEL-codes: G0 G2 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.rcssindia.org/jge (application/pdf)
http://www.rcssindia.org (text/html)
Not freely downloadable

Related works:
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:jge:journl:1632

Ordering information: This journal article can be ordered from

Access Statistics for this article

Journal of Global Economy is currently edited by Dr J K SACHDEVA

More articles in Journal of Global Economy from Research Centre for Social Sciences,Mumbai, India
Bibliographic data for series maintained by Dr J K Sachdeva ().