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Time varying regional integration in emerging stock market

Author

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  • Khaled Guesmi

    (EconomiX, UMR CNRS 7166, University of Paris West Nanterre La Défense)

Abstract

This paper studies the regional stock market integration process. First, we estimate the time-varying world market risk price and the price of currency risk using an international CAPM with segmentation effects. Second, we study the time varying integration with Markov Switching Model. Finally, we relate the obtained results to important facts and economic events.

Suggested Citation

  • Khaled Guesmi, 2011. "Time varying regional integration in emerging stock market," Economics Bulletin, AccessEcon, vol. 31(2), pages 1082-1094.
    • Handle: RePEc:ebl:ecbull:eb-11-00152
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    References listed on IDEAS

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    Cited by:

    1. Khaled Guesmi & Mohamed Hedi Arouri & Ilyes Abid & Frédéric Teulon, 2013. "On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?," Economics Bulletin, AccessEcon, vol. 33(1), pages 597-611.
    2. Khaled GUESMI, 2011. "What drive the regional integration of emerging stock markets?," Economics Bulletin, AccessEcon, vol. 31(2), pages 1-23.

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    More about this item

    Keywords

    Exchange Risk Premium; International Financial Integration; Emerging Markets; Conditional International Capital Asset Pricing Model (ICAPM); Multivariate BEKK-GARCH; Markov Switching Model;
    All these keywords.

    JEL classification:

    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • F3 - International Economics - - International Finance

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