Existing empirical studies show that financial integration affects the behavior of average excess returns, cross-country equity market returns (EMR) correlations and real exchange rate (RER) volatility. We employ a recently developed two-country model with recursive preferences, frictionless and...

This paper examines the dynamics of the financial integration process across equity markets in one global emerging region (Emerging) and three emerging sub-regions (Asia, Eastern Europe, Latin America) over the last two decades. The proportion of total variation in individual excess returns...