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The world is shrinking: Evidence for stock market convergence

Author

Listed:
  • William Shambora

    (Ohio University)

  • Shamila Jayasuriya

    (Ohio University)

Abstract

The relationship between eleven emerging stock markets and the U.S. stock market is examined. The beta for each market is estimated under a GARCH model designed to account for time-varying and exchange rate volatility. Entire period as well as pre- and post-liberalization sub-period models are estimated. Most (nine) of the markets show evidence of stock market convergence five markets have betas not distinguishable from unity. The two markets that exhibit divergence still show significant correlation with the U.S. market.

Suggested Citation

  • William Shambora & Shamila Jayasuriya, 2008. "The world is shrinking: Evidence for stock market convergence," Economics Bulletin, AccessEcon, vol. 7(14), pages 1-12.
    • Handle: RePEc:ebl:ecbull:eb-08g10016
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    References listed on IDEAS

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    2. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.

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