Equity market integration in Latin America: A time-varying integration score analysis

Barari, Mahua

doi:10.1016/j.irfa.2004.02.019

Cited by 47 publications

(40 citation statements)

References 33 publications

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“…Akdogan (1996Akdogan ( , 1997 developed the risk decomposition model to measure the degree of capital market segmentation. Barari (2004) applied a risk decomposition model to investigate the degree of integration for Latin American stock markets. He found an increasing trend towards the regional market integration relative to the global market integration until the mid-1990s but an increasing trend towards global market integration versus regional market integration during the second half of the 1990s.…”

Section: Literature Reviewmentioning

confidence: 99%

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Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe

Lee¹,

Jeong²

2014

RES

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This study examines the effect of financial crisis on the level of stock market integration. In particular, we investigated the dynamic movements of two regional stock markets, Northeast Asia and Europe during the period between January 1 st , 2000 and December 31 st , 2012, with particular attention placed on the global financial crisis (GFC). For this purpose, the paper employs various approaches including DCC-MGARCH, Risk Decomposition, GVAR, and CCOR models to ensure the robustness of empirical findings. The findings of this study are as follows. First, the Northeast Asian stock market remains independent from the European and global stock market movements during the sample period. Second, the European stock market shows an increasing trend of joint integration with Northeast Asian stock market. However, the level of integration is not economically significant. Third, the level of market integration between European and global stock markets had temporally increased during the GFC. However, the level returned to its pre-crisis level in the post-crisis era. The overall empirical evidence suggests that, for either European or global stock market portfolio, constructing a portfolio with Northeast Asian stock market would result in a more efficient portfolio. The results in this paper do not support the view of previous empirical studies which suggested the increased level of integration since the GFC. An increased integration is found to be only unique to the crisis period. In sum, the market integration is a dynamic process, and the financial crisis did not uniformly affect the level of stock market integration.

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Section: Literature Reviewmentioning

confidence: 99%

“…We followed the basic framework of a risk decomposition model suggested by Akdogan (1996Akdogan ( , 1997 and Barari (2004) to measure a differential level of market integration across capital markets. For time-varying evolution of www.ccsenet.org/res Review of European Studies Vol.…”

Section: Risk Decomposition Modelmentioning

confidence: 99%

Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe

Lee¹,

Jeong²

2014

RES

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“…To assess the degree of integration with regional and global markets, we follow the methodology of Barari (2004). This section therefore draws heavily on Barari (2004).…”

Section: Measuring Regional and Global Integration Scoresmentioning

confidence: 99%

“…This section therefore draws heavily on Barari (2004). Let R i denote the rate of return on the ith country index, R r denote the rate of return on the regional benchmark index and R g be the rate of return on the global benchmark index.…”

Section: Measuring Regional and Global Integration Scoresmentioning

confidence: 99%

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Stock market integration in Africa

Agyei‐Ampomah

2011

Managerial Finance

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Purpose: The purpose of this paper is to examine the nature and extent of linkages between African stock markets and the relationships between these markets and that of regional and global indices. Findings:We find that African stock markets are still segmented from global markets in spite of recent structural adjustments and that the local index volatility is largely country-specific which can be diversified away by cross-country diversification.Originality/value: This paper provides further evidence on stock market integration in emerging markets. The finding suggests that African stock markets, with the exception of South Africa, are still segmented from global markets. Thus, recent structural adjustment and liberalisation policies have not reduced stock market segmentation in Africa. This paper therefore has implications for policy makers and international investors.

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Arab Stock Markets Integration: The Case Study of Agadir Agreement Countries

Armanious

2013

Financial and Monetary Policy Studies

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Equity market integration in Latin America: A time-varying integration score analysis

Cited by 47 publications

References 33 publications

Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe

Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe

Stock market integration in Africa

Arab Stock Markets Integration: The Case Study of Agadir Agreement Countries

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