Financial Integration of Large- and Small-Cap Stocks in Emerging Markets

Wang, Ming-Chieh; Fang, Ming; Ye, Jin-Kui

doi:10.2753/ree1540-496x4905s402

Cited by 5 publications

(5 citation statements)

References 17 publications

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“…In this spirit, one might think that because the behaviour of correlations and riskreturn distances during times of higher market volatility is different, the concept of risk-return distances is different from correlations among markets. Therefore, studies like those conducted by Syllignakis and Kouretas (2011), Gjika and Horvath (2013) and Baumö hl and Lyó csa (2014) suggest that diversification benefits decrease during periods of higher volatility, but at the same 20 Wang et al (2013) showed for a sample of 23 emerging markets that large stocks are priced globally and the influence of global variables on the mid-and small-cap stocks is limited. Thus, large-cap stocks are more integrated with world equity returns, which might influence our results.…”

Section: Resultsmentioning

confidence: 93%

Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs

Lyócsa

Baumöhl

2015

Economic Systems

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Section: Resultsmentioning

confidence: 93%

Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs

Lyócsa

Baumöhl

2015

Economic Systems

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“…Several authors have studied asset pricing in a national and international setting, including the research of Bai and Green (2020), Buckberg (1995), De Santis andGerard (1997), Harshita et al (2015), Harvey (1991), Musawa et al (2020), Singh and Yadav (2015), Wang et al (2013) in which they talked about the importance of using the international version of CAPM for valuing the asset pricing models. Researcher's also focussed on the market structure of economies, whether the world market is segmented or integrated (Errunza & Miller, 2016;Errunza, Losq, & Padmanabhan, 1992;El Hedi Arouri, Rault, Sova, Sova, & Teulon, 2013;Patro, 2001;Pirinsky & Wang, 2011;Stulz, 1995;Thomadakis & Usmen, 1991).…”

Section: Conceptual Development Of Modelmentioning

confidence: 99%

“…(2015), Harvey (1991), Musawa et al. (2020), Singh and Yadav (2015), Wang et al. (2013) in which they talked about the importance of using the international version of CAPM for valuing the asset pricing models.…”

Section: Conceptual Development Of Modelmentioning

confidence: 99%

Asset pricing in global scenario: a bibliometric analysis

Keshari

Gautam²

2022

IRJMS

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PurposeThis study aims to organise and present the development of asset pricing models in the international environment. The stock market integration and cross-listing lead us to another objective of bibliometric analysis for “International Asset Pricing” to provide a complete overview and give scope and directions for future research.Design/methodology/approachWeb of Science database is used to search with “International Asset Pricing.” Of 3,438 articles, 2,487 articles are selected for the final bibliometric analysis. Various research such as citation analysis, keyword analysis, author’s and corresponding author's analysis have been conducted.FindingsThe bibliometric analysis finds that the USA comes out to be the country where the maximum research was conducted on the topic. The keyword analysis was also analysed to evaluate the significant areas of the research. Risk, return and international asset pricing are the most frequently used keywords. The year 2020 has the maximum number of published research articles and citations due to the change in the market structure worldwide and the effect of Covid-19 across the world.Originality/valueThe present paper provides the collection, classification and comprehensive analysis of “International Asset pricing,” which may help the academicians, researchers and practitioners for future research for the relevant subject area.

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“…The integration of international financial markets has been perceived to be a very significant and crucial factor for any country's financial market since the present era is a period of globalization and every single country in the world is dependent on one another for their performance (Wang et al, 2013). In the stock market, the integration of the financial market among the countries affects the firms listed on the exchanges.…”

Section: Introductionmentioning

confidence: 99%

Empirical Testing of Co-integration of International Financial Markets with Reference to India, the USA, Japan, and Hong Kong

Keshari

Gautam

2022

Jindal Journal of Business Research

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This article examines the co-integration among the financial markets of four countries (India, the USA, Japan, and Hong Kong) from April 2010 to May 2021. Using the Johansen co-integration test, we establish the integration between the stock markets of these countries. The test clearly shows that there exists long-run co-integration between these countries. Furthermore, we checked the relationship of one country with another by applying the multivariate Granger causality test, which shows the influence of the US market over the other countries. The results significantly show the existence of long-run co-integration and linkages between these financial markets. Applying the Vector error correction model and variance decomposition analysis for the period confirms the result obtained from multivariate Granger causality. As the study shows, the stock market of the countries is not entirely inter-linked. However, some tests provide the pairwise linkages but not when talking about all the nations together. That means the rise in one stock market does not necessarily impact the surge in other stock exchanges, which means investors can profit from diversifying between these stock exchanges. It provides the opportunity for portfolio diversification to investors. The study shows that “the international stock market is neither fully integrated nor completely segmented,” giving international diversification an opportunity. As in our study, the “U.S. market is the most exogenous,” and the Japanese market is relatively isolated from the other market, where the impact from the different markets is not that significant.

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Financial Integration of Large- and Small-Cap Stocks in Emerging Markets

Cited by 5 publications

References 17 publications

Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs

Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs

Asset pricing in global scenario: a bibliometric analysis

Empirical Testing of Co-integration of International Financial Markets with Reference to India, the USA, Japan, and Hong Kong

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