Characterizing World Market Integration Through Time

Emerging market crises and US equity market returns

“…Recent emerging market crises make the topic of contagion especially pertinent. Carrieri, Errunza, and Hogan (2007) demonstrate that world integration tends to increase through time. Bekiros and Georgoutsos (2008) discuss a dramatic increase in private capital flows into emerging markets in recent years.…”

The evolution of risk premium as a measure for intra-regional equity market integration

“…Additionally, the exchange rate risk was priced and relevant in explaining variations in the stock returns of the Mexican equity market. Carrieri et al (2007) extend the model in Errunza and Losq (1985) to assess the integration levels of 8 emerging markets using an aggregated measure of financial asset substitution. They argue that full integration is achieved if we can construct a diversified portfolio from all the eligible assets, whose returns mimic those of a portfolio composed of all the assets in an ineligible segment, and that, conversely, full segmentation corresponds to a null correlation between these two portfolios.…”

“…The literature on this subject (Bekaert & Harvey, 1995;Carrieri, Errunza, & Hogan, 2007) shows that the expected returns of listed shares on emerging stock exchanges depend not only on the national economy's characteristics but also on the degree of the emerging markets' integration in global finance. Efficient allocation strategies in emerging countries like Indonesia require a careful analysis of their risk-return trade-off as well as their linkages with the global stock market.…”

“…Although previous studies (Adler & Qi, 2003;Carrieri et al, 2007;Guesmi & Nguyen, 2011,) have provided a general understanding of the global integration of emerging markets in recent decades (Errunza & Losq, 1985;Bekaert & Harvey, 1995;Carrieri et al, 2007;Pukthuanthong & Roll, 2009), little attention has been paid to the intra-regional integration of emerging markets into regional markets, an undeniable trend. Moreover, the possibility that the structural reforms undertaken by emerging countries lead to time-varying shifts in the integration process governing stock market return dynamics has rarely been considered, producing a biased assessment of the degree of financial integration.…”

Modelling the sovereign linkages of key Latin American economies

“…5 Our research design accounts for the Argentine crisis in 2001. 6 (see Bekaert and Harvey, 1995;Bekaert et al, 2002;Bekaert et al, 1998;Narayan and Symth, 2004;Carrieri et al, 2007;de Jong and de Roon, 2005;Chambet and Gibson, 2008). 7 Ilmanen (1995) found strong evidence of integration across mature bond markets.…”