IDEAS home Printed from https://ideas.repec.org/a/ods/journl/v2y2013i1p4-14.html
   My bibliography  Save this article

International Financial Integration And Equity Risk Premium In Emerging Countries

Author

Listed:
  • Nahil Boussiga
  • Ezzeddine Abaoub

    (Faculty of Economics and Management of Tunis, Tunisia
    Faculty of Economic Sciences and Management of Nabeul, Tunisia)

Abstract

This paper analyzes the effect of international financial integration on the equity risk premium using a panel dataset of sixty emerging and developing countries over the period 2000-2010. We also use equity risk premium determinants as independent vari-ables in the model. The results show that there is a negative relationship between inter-national financial integration and equity risk premium. We add the interaction term between international financial integration and crisis as an independent variable in the model. We find out that our results are not confirmed in crisis situation.

Suggested Citation

  • Nahil Boussiga & Ezzeddine Abaoub, 2013. "International Financial Integration And Equity Risk Premium In Emerging Countries," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 2(1), pages 4-14.
    • Handle: RePEc:ods:journl:v:2:y:2013:i:1:p:4-14
    as

    Download full text from publisher

    File URL: http://www.jami.org.ua/Papers/JAMI_2_1_4-14.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ayhan Kose, M. & Prasad, Eswar S. & Terrones, Marco E., 2009. "Does openness to international financial flows raise productivity growth?," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 554-580, June.
    2. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
    3. Gian Maria Milesi-Ferretti, & Philip R. Lane, 2003. "International Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp03, IIIS.
    4. Sebastian Edwards, 2001. "Capital Mobility and Economic Performance: Are Emerging Economies Different?," NBER Working Papers 8076, National Bureau of Economic Research, Inc.
    5. Stephen Godfrey & Ramon Espinosa, 1996. "A Practical Approach To Calculating Costs Of Equity For Investments In Emerging Markets," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 80-90, September.
    6. Vithessonthi, Chaiporn & Tongurai, Jittima, 2012. "The impact of capital account liberalization measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 16-34.
    7. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
    8. Errunza, Vihang R. & Miller, Darius P., 2000. "Market Segmentation and the Cost of the Capital in International Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(4), pages 577-600, December.
    9. Karen K. Lewis, 2006. "Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US," NBER Working Papers 12697, National Bureau of Economic Research, Inc.
    10. Lins, Karl V. & Strickland, Deon & Zenner, Marc, 2005. "Do Non-U.S. Firms Issue Equity on U.S. Stock Exchanges to Relax Capital Constraints?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(1), pages 109-133, March.
    11. Eswar S. Prasad & Raghuram G. Rajan & Arvind Subramanian, 2007. "Foreign Capital and Economic Growth," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 153-230.
    12. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
    13. Kose, M. Ayhan & Prasad, Eswar & Terrones, Marco E., 2008. "Does Openness to International Financial Flows Contribute to Productivity Growth?," IZA Discussion Papers 3634, Institute of Labor Economics (IZA).
    14. Vo, Xuan Vinh & Daly, Kevin James, 2007. "The determinants of international financial integration," Global Finance Journal, Elsevier, vol. 18(2), pages 228-250.
    15. Peter Blair Henry, 2000. "Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices," Journal of Finance, American Finance Association, vol. 55(2), pages 529-564, April.
    16. Brandt, Michael W. & Wang, Kevin Q., 2003. "Time-varying risk aversion and unexpected inflation," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1457-1498, October.
    17. Geert Bekaert & Campbell Harvey & Christian T. Lundblad, 2003. "Equity market liberalization in emerging markets," Review, Federal Reserve Bank of St. Louis, vol. 85(Jul), pages 53-74.
    18. Anatoliy G. Goncharuk, 2006. "Economic Efficiency in Transition: The Case of Ukraine," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 4(2), pages 129-143.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Siyu Wu & Xiaosong Zheng, 2016. "An Exploratory Study of Enterprise Risk Management in Northern Europe," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 5(4), pages 280-289, November.
    2. Nahil Boussiga & Ezzeddine Abaoub, 2015. "How Does Government Policy Affect Equity Risk Premium?," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(2), pages 65-75.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Boyle, Glenn, 2009. "Capital Market Integration: A Review of the Issues and an Assessment of New Zealand's Position," Working Paper Series 4034, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    2. repec:vuw:vuwscr:19136 is not listed on IDEAS
    3. Boyle, Glenn, 2009. "Capital Market Integration: A Review of the Issues and an Assessment of New Zealand's Position," Working Paper Series 19136, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    4. Archi Bhatia & Hans Raj Sharma, 2019. "Financial liberalization and channels of growth: a comparative study of developed and emerging economies," Indian Economic Review, Springer, vol. 54(1), pages 81-119, June.
    5. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    6. M Ayhan Kose & Eswar Prasad & Kenneth Rogoff & Shang-Jin Wei, 2009. "Financial Globalization: A Reappraisal," IMF Staff Papers, Palgrave Macmillan, vol. 56(1), pages 8-62, April.
    7. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2011. "Financial Openness and Productivity," World Development, Elsevier, vol. 39(1), pages 1-19, January.
    8. Bae, Kee-Hong & Bailey, Warren & Mao, Connie X., 2006. "Stock market liberalization and the information environment," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 404-428, April.
    9. Peter Blair Henry, 2007. "Capital Account Liberalization: Theory, Evidence, and Speculation," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 887-935, December.
    10. Christiansen, Lone & Schindler, Martin & Tressel, Thierry, 2013. "Growth and structural reforms: A new assessment," Journal of International Economics, Elsevier, vol. 89(2), pages 347-356.
    11. Kose, M. Ayhan & Prasad, Eswar & Rogoff, Kenneth & Wei, Shang-Jin, 2010. "Financial Globalization and Economic Policies," Handbook of Development Economics, in: Dani Rodrik & Mark Rosenzweig (ed.), Handbook of Development Economics, edition 1, volume 5, chapter 0, pages 4283-4359, Elsevier.
    12. Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane, 2014. "A dynamic equilibrium model of imperfectly integrated financial markets," Journal of Economic Theory, Elsevier, vol. 154(C), pages 490-542.
    13. Ayhan Kose, M. & Prasad, Eswar S. & Terrones, Marco E., 2009. "Does openness to international financial flows raise productivity growth?," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 554-580, June.
    14. William R. Cline, 2010. "Financial Globalization, Economic Growth, and the Crisis of 2007-09," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 499, January.
    15. Donadelli, M. & Gufler, I. & Paradiso, A., 2024. "Financial market integration: A complex and controversial journey," International Review of Financial Analysis, Elsevier, vol. 92(C).
    16. Peter Henry, 2007. "Capital Account Liberalization: Theory, Evidence, and Speculation," Discussion Papers 07-004, Stanford Institute for Economic Policy Research.
    17. Zaiter Lahimer, Mahjouba, 2011. "L’impact des entrées de capitaux privés sur la croissance économique dans les pays en développement," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/7670 edited by Sterdyniak, Henri.
    18. Dvorak, Tomas & Podpiera, Richard, 2006. "European Union enlargement and equity markets in accession countries," Emerging Markets Review, Elsevier, vol. 7(2), pages 129-146, June.
    19. Umutlu, Mehmet & Akdeniz, Levent & Altay-Salih, Aslihan, 2010. "The degree of financial liberalization and aggregated stock-return volatility in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 509-521, March.
    20. Sulaiman, Saidu & Masih, Mansur, 2017. "Is liberalizing finance the game in town for Nigeria ?," MPRA Paper 95569, University Library of Munich, Germany.
    21. Sèna Kimm Gnangnon, 2022. "Export diversification and financial openness," International Economics and Economic Policy, Springer, vol. 19(4), pages 675-717, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ods:journl:v:2:y:2013:i:1:p:4-14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Anatoliy G. Goncharuk (email available below). General contact details of provider: https://edirc.repec.org/data/dmonaua.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.