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Stock market integration in emerging markets in the spectre of the global financial crisis

Author

Listed:
  • Najlae Bendou
  • Jean-Jacques Lilti
  • Khalid El Badraoui

Abstract

The article examines stock market integration of emerging markets around the global financial crisis of 2007-2008. The rationale of our study is to evaluate whether the level of integration of emerging markets can provide incentives for investors in order to diversify their portfolio to hedge against unsystematic risk. We measure integration in 46 emerging countries between 2000 and 2018 using the mean adjusted R-square methodology. We find that the integration of emerging countries increases at the commencement of the crisis. It reaches a maximum point in the middle of the crisis and then tends to revert to its pre-crisis level. This result provides clear evidence of the benefits of international portfolio diversification in emerging markets which allows to hedge against unsystematic risk during periods of global crises.

Suggested Citation

  • Najlae Bendou & Jean-Jacques Lilti & Khalid El Badraoui, 2024. "Stock market integration in emerging markets in the spectre of the global financial crisis," International Journal of Business Governance and Ethics, Inderscience Enterprises Ltd, vol. 18(4/5), pages 582-608.
    • Handle: RePEc:ids:ijbget:v:18:y:2024:i:4/5:p:582-608
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