319
Views
11
CrossRef citations to date
0
Altmetric
Research articles

Global integration and emerging stock market excess returns

Pages 244-279 | Received 01 Dec 2012, Accepted 24 Feb 2013, Published online: 03 Jul 2013

References

  • Bekaert , G . 1995 . Market integration and investment barriers in emerging equity markets . World Bank Economic Review , 9 : 75 – 107 .
  • Bekaert , G. , Claude , B.E. , Harvey , C.R. and Viskanta , T.E. 1998 . Distributional characteristics of emerging market returns and asset allocation . Journal of Portfolio Management , : 102 – 16 . Winter
  • Bekaert , G. and Harvey , C.R. 1995 . Time-varying world market integration . Journal of Finance , 50 : 403 – 44 .
  • Bekaert , G. and Harvey , C.R. 1997 . Emerging equity market volatility . Journal of Financial Economics , 43 : 29 – 78 .
  • Bekaert , G. and Harvey , C.R. 2000 . Capital flows and the behavior of emerging market equity returns, NBER chapters . Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies , : 159 – 194 . National Bureau of Economic Research, Inc.
  • Bekaert , G. and Harvey , C.R. 2002 . Research in emerging market finance: looking to the future . Emerging Markets Review , 3 : 429 – 48 .
  • Bekaert , G. , Harvey , C.R. and Lundblad , C. 2003 . Equity market liberalization in emerging markets . The Journal of Financial Research , 26 ( 3 ) : 275 – 99 .
  • Bekaert, G., C.R. Harvey, C. Lundblad, and S. Siegel. 2009. What segments equity markets? NBER Working Paper No. 14802.
  • Bekaert , G. , Hodrick , R.J. and Zhang , X. 2009 . International stock return comovements . Journal of Finance , 54 ( 6 ) : 2591 – 626 .
  • Bilson , C.M. , Brailsford , T.J. and Hooper , V.J. 2001 . Selecting macroeconomic variables as explanatory factors of emerging stock market returns . Pacific-Basin Finance Journal , 9 : 401 – 26 .
  • Carrieri , F. , Errunza , V. and Hogan , K. 2007 . Characterizing world market integration through time . Journal of Financial and Quantitative Analysis , 42 ( 4 ) : 915 – 40 .
  • Chari , A. and Henry , P.B. 2004 . Risk sharing and asset prices: Evidence from a natural experiment . Journal of Finance , 59 ( 3 ) : 1295 – 324 .
  • Ciarlone, A., P. Piselli, and G. Trebeschi. (2007). Emerging markets spreads and global financial conditions. Temi di discussione, Banca d'Italia, n. 637.
  • Colacito , R. and Croce , M.M. 2010 . The short- and long-run benefits of financial integration . American Economic Review: Papers & Proceeding , 100 ( 2 ) : 527 – 31 .
  • Corsetti , G. , Pericoli , M. and Sbracia , M. 2005 . Some contagion, some Interdependence: more pitfalls in tests of financial contagion . Journal of International Money and Finance , 24 ( 8 ) : 1177 – 99 .
  • De Jong , F. and De Roon , F.A. 2005 . Time varying market integration and expected returns in emerging markets . Journal of Financial Economics , 78 : 583 – 613 .
  • Donadelli, M. 2013. On the dynamics of industrial stock market excess returns, CASMEF Working Paper Series n. 2013/02.
  • Donadelli , M. and Prosperi , L. 2012 . On the role of liquidity in emerging markets stock prices . Research in Economics , 66 ( 4 ) : 320 – 48 .
  • Edison, H., and F. Warnock. 2002. A simple measure of the intensity of capita controls. Unpublished working paper, International Monetary Fund.
  • Edison , H. and Warnock , F. 2003 . A simple measure of the intensity of capital controls . Journal of Empirical Finance , 10 ( 1 ) : 81 – 103 .
  • Errunza , V. and Pabmanabhan , P. 1988 . Further evidence on the benefits of portfolio investments in emerging markets . Financial Analysts Journal , 44 : 76 – 8 .
  • Estrada , J . 2000 . The cost of equity in emerging markets: A downside risk approach . Emerging Markets Quarterly , 4 : 19 – 30 .
  • Gau , Y.F. , Mingshu , H. and Wu , W.L. 2010 . International asset allocation for incompletely-informed investors . Journal of Financial Markets , 3 : 422 – 47 .
  • Grootveld , H. and Salomons , R. 2003 . The equity risk premium: Emerging vs. developed markets . Emerging Markets Review , 4 ( 2 ) : 121 – 44 .
  • Harvey, C. 1993. Portfolio enhancement using emerging markets and conditioning information, World Bank Discussion Papers, 228, December, 110–44.
  • Harvey , C.R . 1995 . Predictable risk and returns in emerging markets . Review of Financial Studies , 8 : 773 – 816 .
  • Henry , P . 2000a . Stock market liberalization, economic reform and emerging market equity prices . Journal of Finance , 55 : 529 – 64 .
  • Henry , P . 2000b . Do stock market liberalization cause investment booms? . Journal of Financial Economics , 58 : 301 – 34 .
  • Hodrick , R. and Prescott , E.C. 1997 . Postwar U.S. business cycles: an empirical investigation . Journal of Money, Credit, and Banking , 29 ( 1 ) : 116
  • Joyce , J.P . 2011 . Financial globalization and banking crises in emerging markets . Open Economies Review , 22 : 875 – 95 .
  • Kritzam , M. , Li , Y. , Page , S. and Rigobon , R. 2011 . Principal components as a measure of systemic risk . Journal of Portfolio Management , 37 ( 4 ) : 112 – 26 .
  • Levine , R. and Zervos , S. 1996 . Stock market development and long-run growth . The World Bank Economic Review , 10 ( 2 ) : 323 – 39 .
  • Liao, W., and A.M. Santacreu. (2012). The trade comovement puzzle and the margins of international trade. Unpublished manuscript.
  • Newey , W.K. and West , K.D. 1987 . A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 ( 3 ) : 703 – 8 .
  • Panchenko , V. and Wu , E. 2009 . Time-varying market integration and stock and bond return concordance in emerging markets . Journal of Banking & Finance , 33 : 1014 – 21 .
  • Pukthuanthong , K. and Roll , R. 2009 . Global market integration: An alternative measure and its application . Journal of Financial Economics , 92 ( 2 ) : 214 – 32 .
  • Santacreu, A.M. (2011). Innovation, diffusion and trade: theory and measurement. NYU mimeo.
  • Stulz , R . 1995 . The cost of capital in internationally integrated markets: The case of Nestlé . European Financial Management , 1 ( 1 ) : 11 – 22 .
  • Stulz , R . 1999 . “ International portfolio flows and security markets, in Mart ” . In International Capital Flows , Edited by: Feldstein , M. 257 – 93 . Chicago , IL : University of Chicago Press .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.