منابع مشابه
TIME - VARYING WORLD MARKET INTEGRATION Geert Bekaert
We propose a conditional measure of capital market integration that allows us to characterize both the cross-section and time-series ofexpected returns in developed and emerging markets. Our measure, which arises from a conditional regime-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integr...
متن کاملChina’s Financial Market Integration with the World
It is commonly argued that China’s financial markets are effectively insulated from the rest of the world. To see if this is true and to better understand China’s financial development, we analyze China’s integration with major financial markets. Using conditional copulas, we show that China has experienced an increasing level of integration with several major financial markets during the last ...
متن کاملTime-varying market integration and stock and bond return concordance in emerging markets
We investigate the extent to which emerging stock market integration affects the joint behavior of stock and bond returns using a two-stage semi-parametric approach. Using a sample of 18 emerging markets, we find an unambiguous and robust link between emerging stock market integration and stock–bond return decoupling. We explain this with a decline in the segmentation risk premia in equities mo...
متن کاملSmall-world behavior in time-varying graphs.
Connections in complex networks are inherently fluctuating over time and exhibit more dimensionality than analysis based on standard static graph measures can capture. Here, we introduce the concepts of temporal paths and distance in time-varying graphs. We define as temporal small world a time-varying graph in which the links are highly clustered in time, yet the nodes are at small average tem...
متن کاملIntegration versus segmentation in China’s stock market: An analysis of time-varying beta risks
This paper assesses whether China’s stock market is integrated with the global market during 2000–2010 within the framework of an augmented CAPM. We firstly use Kalman smoothing technique to obtain time-varying global and national systematic risks for the once-restricted Aand unrestricted B-share indices in China’s stock exchanges. Then we investigate how these risks are priced while controllin...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1995
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1995.tb04790.x