Boubakri, Salem; COUHARDE, Cécile; RAYMOND, Helene - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014
The aim of this article is to study the dynamics of financial integration and of the risk premia in emerging markets … Carrieri et al. (2007), allowing for time-varying stock market integration, in which we include the foreign currency risk. Our … financial integration is broadly consistent with the de jure measure of capital openness, but much less sticky. Moreover, while …