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- W2000335314 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." @default.
- W2000335314 created "2016-06-24" @default.
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- W2000335314 date "2013-09-01" @default.
- W2000335314 modified "2023-10-03" @default.
- W2000335314 title "Global integration and emerging stock market excess returns" @default.
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- W2000335314 doi "https://doi.org/10.1080/17520843.2013.782885" @default.
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