Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case

Mohamed El-Hedi Arouri and Fredj Jawadi

Chapter 6 in Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, 2011, pp 107-118 from Palgrave Macmillan

Abstract: Abstract Emerging stock markets are one of the best areas for investment and have become more accessible to investors in recent years thanks to successive efforts to open up these markets. These markets not only offer investors generous returns and opportunities but also enable them to better diversify their portfolios. These efforts recently led to a significant increase in capital flows toward the region and a rise in emerging market capitalization that reached around 20 percent of world market capitalization in 2000. This also has a considerable impact on the emerging stock market industry. Indeed, in addition to the significant increase in the financial integration of emerging markets into the world market (Bekaert and Harvey 1995), the adjustment dynamics of their asset prices is almost simultaneously governed by internal, regional, and external economic, financial, and political factors (Adler and Qi 2003; Carrieri et al. 2007).

Keywords: Stock Market; Stock Price; Stock Return; International Stock Market; World Market Capitalization (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-29520-9_6

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DOI: 10.1057/9780230295209_6

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