Integration and Stock Market Co-Movement between Emerging Economies

Reference : Integration and Stock Market Co-Movement between Emerging Economies


	Document type :	Scientific journals : Article
	Discipline(s) :	Business & economic sciences : International economics
	To cite this reference:	http://hdl.handle.net/10993/5773

Title :	Integration and Stock Market Co-Movement between Emerging Economies
Language :	English
Author, co-author :	Beine, Michel [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
	Candelon, Bertrand [University of Maastricht]
Publication date :	2011
Journal title :	Quantitative Finance
Publisher :	Routledge
Volume :	11
Issue/season :	2
Pages :	299-312
Peer reviewed :	Yes (verified by ORBi^lu)
ISSN :	1469-7688
Keywords :	[en] Stock market synchronization ; financial integration, trade integration ; emerging markets
Abstract :	[en] In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time-varying cross-country correlations allows the econometric investigation to be performed using a panel data framework, raising hence the quality of the statistical inference. Our results offer strong support in favor of a positive impact of trade and financial liberalization reforms on the degree of cross-country stock market linkages.
Target :	Researchers ; Professionals ; Students ; General public
Permalink :	http://hdl.handle.net/10993/5773

File(s) associated to this reference

Fulltext file(s):

	File	Commentary	Version	Size	Access
Limited access	Beican revised.pdf		Author preprint	247.35 kB	Request a copy

All documents in ORBi^lu are protected by a user license.