A la Recherche des Facteurs D\'eterminants de l'Int\'egration Internationale des March\'es Boursiers: une Analyse sur Donn\'ees de Panel
Mohamed Arouri ()
Papers from arXiv.org
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model with time-varying degree of integration. This model is estimated for 30 countries (10 developed countries and 20 emerging countries) using panel data econometrics. In order to investigate whether the financial integration in emerging markets and that in developed markets react differently to the economic and financial innovations, we estimated the model as well jointly for all markets as separately for developed markets and emerging markets. Our results show that trade openness exerts a positive effect on financial integration across all markets, the global factors drive integration in developed markets whereas the factors related to economic and political stability affect financial integration in emerging markets.
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/0905.3871 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0905.3871
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().