We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market value of the assets that can be held by domestic investors only versus the market value of the assets that can be traded freely.Our empirical analysis for 30 emerging markets shows that there are strong effects of the level of integration or segmentation on the expected returns in emerging markets.The expected returns depend both on the level of segmentation of the emerging market itself and on the regional segmentation level.We also find that there i...
The low correlation between returns in emerging equity markets and industrial equity markets implies...
This paper investigates whether small markets offer higher risk-adjusted expected returns using a la...
This study examines the time-varying feature of Emerging and Frontier stock markets to identify dive...
We use a simple model in which the expected returns in emerging markets depend on their systematicri...
We use a simple model in which the expected returns in emerging markets depend on their systematicri...
I use American Depositary Receipts and underlying stocks to test the level of integration of the sto...
We propose a measure of capital market integration arising from a conditional regime-switching model...
This paper examines the dynamics of the financial integration process across equity markets in one g...
This article contributes to the literature on stock market integration by developing and estimating ...
In this paper we studied the impact of the integration of emerging markets in a portfolio composed i...
In recent years, various emerging market regions have actively taken part in the movements of global...
Taking into account previous research we could assume to be beneficial to diversify investments in e...
[[abstract]]This study investigates time-varying world and regional integration in emerging European...
We investigate the extent to which emerging stock market integration affects the joint behavior of s...
The low correlation between returns in emerging equity markets and industrial equity markets implies...
The low correlation between returns in emerging equity markets and industrial equity markets implies...
This paper investigates whether small markets offer higher risk-adjusted expected returns using a la...
This study examines the time-varying feature of Emerging and Frontier stock markets to identify dive...
We use a simple model in which the expected returns in emerging markets depend on their systematicri...
We use a simple model in which the expected returns in emerging markets depend on their systematicri...
I use American Depositary Receipts and underlying stocks to test the level of integration of the sto...
We propose a measure of capital market integration arising from a conditional regime-switching model...
This paper examines the dynamics of the financial integration process across equity markets in one g...
This article contributes to the literature on stock market integration by developing and estimating ...
In this paper we studied the impact of the integration of emerging markets in a portfolio composed i...
In recent years, various emerging market regions have actively taken part in the movements of global...
Taking into account previous research we could assume to be beneficial to diversify investments in e...
[[abstract]]This study investigates time-varying world and regional integration in emerging European...
We investigate the extent to which emerging stock market integration affects the joint behavior of s...
The low correlation between returns in emerging equity markets and industrial equity markets implies...
The low correlation between returns in emerging equity markets and industrial equity markets implies...
This paper investigates whether small markets offer higher risk-adjusted expected returns using a la...
This study examines the time-varying feature of Emerging and Frontier stock markets to identify dive...