Financial Integration of Large- and Small-Cap Stocks in Emerging Markets

Ming-Chieh Wang, Ming Fang and Jin-Kui Ye

Emerging Markets Finance and Trade, 2013, vol. 49, issue S4, 17-31

Abstract: This study examines the financial integration of large- and small-cap stocks in twenty-three emerging markets to determine their degree of market integration with the world market. The international asset pricing model cannot be rejected for most large-cap stock portfolios, but it is rejected for small-cap stock portfolios. The findings also demonstrate that super-large-cap stocks have the fewest pricing errors and their global financial integration has increased in recent years. In sum, the empirical results indicate that global market integration is primarily associated with the super-large-cap stocks of large emerging markets.

Keywords: asset pricing; emerging markets; financial integration (search for similar items in EconPapers)
Date: 2013
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