Time varying regional integration in emerging stock market

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.

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Year of publication:	2011
Authors:	Guesmi, Khaled
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 31.2011, 2, p. 1082-1094
Publisher:	AccessEcon
Subject:	Exchange Risk Premium \| International Financial Integration \| Emerging Markets \| Conditional International Capital Asset Pricing Model (ICAPM) \| Multivariate BEKK-GARCH \| Markov Switching Model

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	F4 - Macroeconomic Aspects of International Trade and Finance ; F3 - International Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008917782