A1 - Virgine Coudert
A1 - Karine Hervé
A1 - Pierre Mabille
TI - Internationalization versus Regionalisation in the Emerging Stock Markets
IS - 2013-08
T3 - Working Papers
KW - Time-varying integration
KW - emerging markets
KW - stock markets
KW - multivariate
N2 - Globalization has led financial markets to be more and more correlated across countries, especially between advanced and emerging countries. We propose to shed light on the issue of financial integration in emerging countries by resorting to complementary econometric approaches. For that, we draw a parallel between the results from a rolling window OLS regression - evaluating to what extent shocks on regional and developed stock markets are passed through to emerging markets - and the results from a trivariate BEKK-GARCH model assessing the dynamic of integration in emerging markets While regional integration is by and large a central characteristic of most emerging stock markets, the pattern of financial shocks transmission turns out to vary substantially across countries and over time.
ER -