Unité mixte de recherche 7235

How strong is the global integration of emerging market regions? An empirical assessment

Khaled Guesmi, Duc Khuong Nguyen

[en]In recent years, various emerging market regions have actively taken part in the movements of globalization and world market integration. However, the process of financial integration appears to vary over time and differs significantly across emerging market regions. This paper attempts to evaluate the time-varying integration of emerging markets from a regional perspective (Asia, Latin America, Middle East, and Southeast Europe) based on a conditional version of the International Capital Asset Pricing Model (ICAPM) with DCC-GARCH parameters that allows for dynamic changes in the degree of market integration, global market risk premium, regional exchange-rate risk premium, and local market risk premium. Overall, our findings reveal several interesting facts. First, the time-varying degree of integration of four emerging regions, satisfactorily explained by the regional level of trade openness and the term premium of US interest rates, has recently tended to increase, but these markets still remain substantially segmented from the world market. Second, the local market risk premium is found to explain more than 50% of the total risk premium for emerging market returns. Finally, we show that conditional correlations usually underestimate and overstate the measure of time-varying market integration. The empirical results of this study have some important implications for both global investors and policy makers with respect to dedicated portfolio investments in emerging markets and policy adjustments.[/en]

AGENDA

jeudi 8 juin 2023

Doctorants

Sahil Chopra (Université Sorbonne Paris-Nord)

Economics of litigation : Securities class action with third-party funding

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Law, Institutions and Economics in Nanterre (LIEN)

Arthur Silve (IAST / Univ. Laval)

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Guillaume Pierné

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lundi 19 juin 2023

Law, Institutions and Economics in Nanterre (LIEN)

Juan Mora-Sanguinetti (Banco de Espana)

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mardi 20 juin 2023

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jeudi 22 juin 2023

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Jules Chaperon

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Ken Yahagi

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L’économie de la régulation entre intérêt public et intérêts privés : capture, conflits d’intérêts et revolving doors

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