EconPapers    
Economics at your fingertips  
 

Financial markets and international risk sharing in emerging market economics

Martin Schmitz

No 1451, Working Paper Series from European Central Bank

Abstract: In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22 emerging market economies shows strong evidence for pro-cyclicality of capital gains on domestic stock markets both over short and medium term horizons. This implies that domestic output fluctuations can be hedged through cross-border ownership of financial markets. JEL Classification: F21, F30, G15

Keywords: capital gains; Cross-Border Investment; emerging market economies; financial globalisation; International risk sharing (search for similar items in EconPapers)
Date: 2012-07
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-ifn and nep-opm
Note: 1865580
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1451.pdf (application/pdf)

Related works:
Journal Article: FINANCIAL MARKETS AND INTERNATIONAL RISK SHARING IN EMERGING MARKET ECONOMIES (2013)
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:ecb:ecbwps:20121451

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

 
Page updated 2023-08-12
Handle: RePEc:ecb:ecbwps:20121451