EconPapers    
Economics at your fingertips  
 

Global integration and emerging stock market excess returns

Michael Donadelli

Macroeconomics 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/17520843.2013.782885 (text/html)
Access to full text is restricted to subscribers.

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:taf:macfem:v:6:y:2013:i:2:p:244-279

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REME20

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
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2022-08-03
Handle: RePEc:taf:macfem:v:6:y:2013:i:2:p:244-279