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

lundi 5 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Vincent Lefrère (Institut Mines Telecom)

En salle 614 et en distanciel

Privacy, Data and Competition: The Case of Apps For Young Children

mardi 6 décembre 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Eric Monnet (EHESS et PSE)

Le rôle d’amortisseur des banques centrales – une perspective historique

jeudi 8 décembre 2022

Lunch

Georges Prat

12h - 13h, salle 110

Modeling ex-ante risk premiums in the oil market

lundi 12 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clément Brébion (Copenhagen BS)

En salle 614 et en distanciel

Unemployment Insurance Eligibility and Employment Duration

mardi 13 décembre 2022

Développement Durable Environnement et Energie (DDEE)

Nicolas Astier (Paris School of Economics)

16h-17h

Riding together: eliciting travelers’ preferences for long-distance carpooling

mercredi 14 décembre 2022

Économies du monde musulman

Mohamed Touati Tliba (École Supérieure de Commerce, Alger)

The scientific wealth of nations with special reference to MENA region: a cross-country productivity analysis of academic research

jeudi 15 décembre 2022

Doctorants

Pablo Aguilar Perez

TBA

jeudi 15 décembre 2022

Groupe de travail « Intelligence artificielle »

Matthieu Lapaty (UPMC)

TBA

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