Market Integration and Investment Barriers in Emerging Equity Markets PDF Download
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Author: Geert Bekaert
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 64
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Book Description
Author: Geert Bekaert
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 64
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Book Description
Author: Robert A. Korajczyk
Publisher: World Bank Publications
ISBN:
Category : Aktiemarkeder
Languages : en
Pages : 48
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Book Description
Author: A. Robert Korajczyk
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
June 1995 Along several dimensions, a measure of the financial integration of equity markets yields results consistent with prior assumptions about the relationship between effective integration, explicit capital controls, capital market development, and economic growth. If equity markets are financially integrated, the price of risk should be the same across markets. If the markets are not financially integrated--possibly because of barriers to capital flows across markets--the price of risk may differ across markets. Korajczyk investigates one measure of financial integration between equity markets. He uses a multifactor equilibrium Arbitrage Pricing Theory to define risk and to measure deviations from the law of one price. He applies the integration measure to equities traded in 24 countries (four developed, and 20 emerging). The measure of market segmentation tends to be much larger for emerging markets than for developed markets, which is consistent with larger barriers to capital flows into or out of the emerging markets. The measure tends to decrease over time, which is consistent with growing levels of integration. Large values of adjusted mispricing occur around periods of economic turbulence and periods in which capital controls change significantly. So, the adjusted mispricing estimates measure not only the level of deviation from the law of one price, but also the revaluations inherent in moving from one regime to another. This paper--a product of the Finance and Private Sector Development Division, Policy Research Department--is part of a larger effort in the department to study stock market development. The study was funded by the Bank's Research Support Budget under the research project Stock Market Development and Financial Intermediary Growth (RPO 678-37).
Author: Robert A. Korajczyk
Publisher:
ISBN:
Category :
Languages : en
Pages : 48
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Book Description
Along several dimensions, a measure of the financial integration of equity markets yields results consistent with prior assumptions about the relationship between effective integration, explicit capital controls, capital market development, and economic growth.If equity markets are financially integrated, the price of risk should be the same across markets. If the markets are not financially integrated - possibly because of barriers to capital flows across markets - the price of risk may differ across markets.Korajczyk investigates one measure of financial integration between equity markets. He uses a multifactor equilibrium Arbitrage Pricing Theory to define risk and to measure deviations from the law of one price. He applies the integration measure to equities traded in 24 countries (four developed, and 20 emerging).The measure of market segmentation tends to be much larger for emerging markets than for developed markets, which is consistent with larger barriers to capital flows into or out of the emerging markets. The measure tends to decrease over time, which is consistent with growing levels of integration.Large values of adjusted mispricing occur around periods of economic turbulence and periods in which capital controls change significantly. So, the adjusted mispricing estimates measure not only the level of deviation from the law of one price, but also the revaluations inherent in moving from one regime to another.This paper - a product of the Finance and Private Sector Development Division, Policy Research Department - is part of a larger effort in the department to study stock market development. The study was funded by the Bank's Research Support Budget under the research project Stock Market Development and Financial Intermediary Growth (RPO 678-37).
Author: Jeffrey A. Frankel
Publisher: University of Chicago Press
ISBN: 0226260216
Category : Business & Economics
Languages : en
Pages : 428
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Book Description
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Author: Sabur Mollah
Publisher: Springer
ISBN: 1137367547
Category : Business & Economics
Languages : en
Pages : 172
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Book Description
Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.
Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Capital movements
Languages : en
Pages : 48
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Book Description
Legal and other barriers limit foreign investors' access to emerging stock markets. Empirical evidence suggests that countries could lower the (risk- adjusted) cost of capital by removing formal barriers to such access.
Author: Geert Bekaert
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 70
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Book Description
Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits, we exploit the duality between Hansen-Jagannathan bounds [1991] and mean-standard deviation frontiers. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings. To investigate global market integration, we compute the reduction in expected returns an investor would be willing to accept to avoid investment barriers in six countries. We find evidence of investment restrictions for Indonesia, Taiwan and Thailand, but not for Korea, the Philippines or Turkey.
Author: Geert Bekaert
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 92
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Book Description
Returns in emerging capital markets are very different from returns in developed markets. While most previous research has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital market reform. We shed indirect light on the question of capital market integration by exploring the changing influence of world factors on the volatility in emerging markets. Finally, we investigate the cross-section of volatility. We use measures such as asset concentration, market capitalization to GDP, size of the trade sector, cross-sectional volatility of individual securities within each country, turnover, foreign exchange variability and national credit ratings to characterize why volatility is different across emerging markets.
Author: Mr.Paul Cashin
Publisher: International Monetary Fund
ISBN: 1451853289
Category : Business & Economics
Languages : en
Pages : 58
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Book Description
This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.
