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Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case

In: Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models

Author

Listed:
  • Mohamed El-Hedi Arouri
  • Fredj Jawadi

Abstract

Emerging stock markets are one of the best areas for investment and have become more accessible to investors in recent years thanks to successive efforts to open up these markets. These markets not only offer investors generous returns and opportunities but also enable them to better diversify their portfolios. These efforts recently led to a significant increase in capital flows toward the region and a rise in emerging market capitalization that reached around 20 percent of world market capitalization in 2000. This also has a considerable impact on the emerging stock market industry. Indeed, in addition to the significant increase in the financial integration of emerging markets into the world market (Bekaert and Harvey 1995), the adjustment dynamics of their asset prices is almost simultaneously governed by internal, regional, and external economic, financial, and political factors (Adler and Qi 2003; Carrieri et al. 2007).

Suggested Citation

  • Mohamed El-Hedi Arouri & Fredj Jawadi, 2011. "Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, chapter 6, pages 107-118, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-29520-9_6
    DOI: 10.1057/9780230295209_6
    as

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