Financial Integration of Emerging Markets: An Analysis of Latin America Versus South Asia Using Individual Stocks

Cathy S. Goldberg () and Francisco A. Delgado
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Cathy S. Goldberg: University of San Francisco, U.S.A.
Francisco A. Delgado: UBS Warburg, U.S.A.

Multinational Finance Journal, 2001, vol. 5, issue 4, 259-301

Abstract: This article presents an analysis of financial integration for emerging financial markets. The results indicate that for the sample of countries examined, Argentina, Chile, Mexico and Thailand’s stock markets are financially integrated. Conclusions are reached by first identifying endogeonous breaks in multiple stock return series and then constructing confidence intervals around these break dates. Further support is provided that identified breaks are due to integration by performing statistical analyses on the return series pre and post break. In general, the stocks in integrated countries become more correlated with world and industry indexes. Mean returns for these stocks decrease and become more aligned with the mean returns of their respective industry indexes. In cases where we do not find supporting evidence for financial integration, the break dates correspond to currency crises or other events that caused a shift in the return series

Keywords: emerging markets; financial integration; structural break tests (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:5:y:2001:i:4:p:259-301

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