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- W2016754610 abstract "We investigate the extent to which emerging stock market integration affects the joint behavior of stock and bond returns using a two-stage semi-parametric approach. Using a sample of 18 emerging markets, we find an unambiguous and robust link between emerging stock market integration and stock–bond return decoupling. We explain this with a decline in the segmentation risk premia in equities modeled by De Jong and De Roon [De Jong, F., De Roon, F.A., 2005. Time-varying market integration and expected returns in emerging markets. Journal of Financial Economics 78, 583–613] that leads to increased demand for stocks and reduced or unchanged demand for bonds. Our findings deliver new insights into the financial liberalization and stock–bond comovement literatures." @default.
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- W2016754610 date "2009-06-01" @default.
- W2016754610 modified "2023-09-25" @default.
- W2016754610 title "Time-varying market integration and stock and bond return concordance in emerging markets" @default.
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- W2016754610 doi "https://doi.org/10.1016/j.jbankfin.2008.10.016" @default.
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