Political crises and the stock market integration of emerging markets

Frijns, Bart; Tourani‐Rad, Alireza; Indriawan, Ivan

doi:10.1016/j.jbankfin.2011.05.007

Cited by 48 publications

(18 citation statements)

References 24 publications

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“…Fourth, there is evidence of increasing stock market integration between these countries (Forbes & Rigobon ; Frijns et al. ), implying some similarity in the financial markets.…”

Section: Methods and Samplementioning

confidence: 99%

“…Third, the countries are geographically proximate and thus thereby enable better information transmission between the markets (see Ragozzino & Reuer forthcoming;Aggarwal et al 2012), which should further connect the markets. Fourth, there is evidence of increasing stock market integration between these countries (Forbes & Rigobon 2002;Frijns et al 2012), implying some similarity in the financial markets.…”

Section: The Choice Of Control Countriesmentioning

confidence: 99%

See 1 more Smart Citation

Strong Financial Laws Without Strong Enforcement: Is Good Law Always Better than No Law?

Humphery‐Jenner¹

2013

J Empirical Legal Studies

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This article examines whether strong laws are effective when regulatory institutions are weak. This has become especially relevant due to criticisms of financial market regulation in the United States. I test the impact of imposing strong laws on a weak regulatory environment by using China's principled reforms to market manipulation law as a natural experiment. The results from difference-in-difference tests suggest that China's principled law reforms did not improve the market's information environment, as proxied by the level of informed trade and information asymmetry. This implies that principled law reform is ineffective if the regulatory environment is weak.

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“…Fourth, there is evidence of increasing stock market integration between these countries (Forbes & Rigobon ; Frijns et al. ), implying some similarity in the financial markets.…”

Section: Methods and Samplementioning

confidence: 99%

Section: The Choice Of Control Countriesmentioning

confidence: 99%

Strong Financial Laws Without Strong Enforcement: Is Good Law Always Better than No Law?

Humphery‐Jenner¹

2013

J Empirical Legal Studies

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“…They find that the degree of openness for foreign trade contributes to the integration process such that the less diversified an economy is with respect to its foreign trade partners, the more integrated its financial market will be. Frijns et al (2012) argue that political crises with certain characteristics reduce the integration of emerging markets. The authors particularly note that the start of crises, their severity, the number of parties, and U.S. involvement have significant impacts on integration.…”

Section: Previous Studies On Stock Market Integrationmentioning

confidence: 99%

Stock Market Integration and the Global Financial Crisis*

Lehkonen

2014

Review of Finance

116

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We study the dynamics of stock market integration and its consequences during the recent financial crisis for 23 developed and 60 emerging markets. We find that integration increased slightly for emerging markets but decreased for developed countries during the crisis.Moreover, we argue that the high degree of integration propagated the crisis across the global financial markets at the beginning of the crisis, but it had little effect during the crisis. We also find that integration is mostly affected by financial openness, the institutional environment and global financial uncertainty but that these determinants vary slightly between emerging and developed markets.JEL classification: F15, F36, F65, G15, G01

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“…This model allows expected returns to change over time with respect to the level of market integration which is modeled as a function of national and global variables. More recent contributions adopt different methodologies to empirically assess the evolution of market integration and model time variations in expected returns (Bhattacharya and Daouk, 2002;Adler and Qi, 2003;Hardouvelis et al, 2006;Carrieri et al, 2007;Pukthuanthong and Roll, 2009;Bali and Cakici, 2010;Frijns et al, 2012). For example, Pukthuanthong and Roll (2009) develop principal component regressions, in which an index's return is regressed on 10 global factors.…”

Section: Related Literaturementioning

confidence: 99%