 Global integration and emerging stock market excess returnsMacroeconomics and Finance in Emerging Market Economies, 2013, vol. 6, issue 2, 244-279 Abstract: This article studies the effects of the global integration process on emerging stock market excess returns in a dynamic context. I improve the existing literature in four main directions. First, I show that the average excess returns rise as the level of financial and real integration rises. Second, I find overwhelming evidence that the financial liberalizations (i.e. de jure integration) of the late 1980s and early 1990s have not been simultaneously accompanied by a de facto integration. Third, I find that the percentage of variation in emerging excess returns explained by non-traded global risk factors rises as the level of market openness rises. Last, at the country level, I show that the correlation coefficient does not represent a robust measure of integration. Results also suggest that there are substantial cross-country differences in the dynamics of the degree of financial integration. Date: 2013 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:macfem:v:6:y:2013:i:2:p:244-279 Ordering information: This journal article can be ordered from DOI: 10.1080/17520843.2013.782885 Access Statistics for this article Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals |
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