Time Varying Market Integration and Expected Rteurns in Emerging Markets
Jong, F.C.J.M. de
Roon, F.A. de
- Publisher: Finance
return on investment;economic integration;international financial markets;capital markets | return on investment; economic integration; international financial markets; capital markets
mesheuropmc: health care economics and organizations
We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable th...