Time Varying Market Integration and Expected Rteurns in Emerging Markets

Research, Preprint OPEN
Jong, F.C.J.M. de; Roon, F.A. de;
  • Publisher: Finance
  • Subject: G18 - Government Policy and Regulation | economic integration | G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates | capital markets | return on investment;economic integration;international financial markets;capital markets | return on investment | G15 - International Financial Markets | international financial markets | return on investment; economic integration; international financial markets; capital markets
    • jel: jel:G12 | jel:G15 | jel:G18
    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... View more
  • References (15)
    15 references, page 1 of 2

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