Characterizing World Market Integration through Time

@inproceedings{Carrieri2007CharacterizingWM,
  title={Characterizing World Market Integration through Time},
  author={Francesca Carrieri and Vihang Errunza and Ked Hogan},
  year={2007}
}
International 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… CONTINUE READING
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