scholarly journals Cross-Section of Asset Returns: Emerging Markets and Market Integration

2018 ◽  
Vol 13 (1) ◽  
pp. 41-60
Author(s):  
Tamara Ajrapetova
Keyword(s):  
Emerging Markets ◽  
Cross Section ◽  
Market Integration ◽  
Asset Returns

Downside risks and the cross-section of asset returns

2018 ◽  
Vol 129 (1) ◽  
pp. 69-86 ◽  
Author(s):  
Adam Farago ◽  
Roméo Tédongap
Keyword(s):  
Cross Section ◽  
Asset Returns ◽  
The Cross

Market integration in developed and emerging markets: Evidence from the CAPM

2008 ◽  
Vol 9 (2) ◽  
pp. 89-103 ◽  
Author(s):  
Robert F. Bruner ◽  
Wei Li ◽  
Mark Kritzman ◽  
Simon Myrgren ◽  
Sébastien Page
Keyword(s):  
Emerging Markets ◽  
Market Integration

Characterizing World Market Integration through Time

2007 ◽  
Vol 42 (4) ◽  
pp. 915-940 ◽  
Author(s):  
Francesca Carrieri ◽  
Vihang Errunza ◽  
Ked Hogan
Keyword(s):  
Emerging Markets ◽  
Time Variation ◽  
Market Integration ◽  
Emerging Market ◽  
World Market ◽  
Market Returns ◽  
Portfolio Flows ◽  
Asset Pricing Models ◽  
Local Risk ◽  
Financial Market Development

AbstractInternational asset pricing models suggest that barriers to portfolio flows and availability of market substitutes affect the degree and time variation of world market integration. We use GARCH-in-mean methodology to assess the evolution in market integration for eight emerging markets over the period 1977–2000. Our results suggest that while local risk is still a relevant factor in explaining time variation of emerging market returns, none of the countries appear to be completely segmented. We find that there are substantial crossmarket differences in the degree of integration. The evolution toward more integrated financial markets is apparent although at times we do observe reversals. In addition, we provide clear evidence on the impropriety of directly using correlations of market-wide index returns as a measure of market integration. Finally, financial market development and financial liberalization policies play important roles in integrating emerging markets.

Sign in / Sign up

Export Citation Format

Share Document