INTERNATIONAL FINANCIAL INTEGRATION AND EQUITY RISK PREMIUM IN EMERGING COUNTRIES

Nahil Boussiga and Ezzeddine Abaoub
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Ezzeddine Abaoub: Faculty of Economics and Management of Tunis, Tunisia

Journal of Applied Management and Investments, 2013, vol. 2, issue 1, 4-14

Abstract: This paper analyzes the effect of international financial integration on the equity risk premium using a panel dataset of sixty emerging and developing countries over the period 2000-2010. We also use equity risk premium determinants as independent vari-ables in the model. The results show that there is a negative relationship between inter-national financial integration and equity risk premium. We add the interaction term between international financial integration and crisis as an independent variable in the model. We find out that our results are not confirmed in crisis situation.

Keywords: international financial integration; equity risk premium; crisis; emerging countries; panel data; generalized least squares (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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