Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.12458/38
Title: Effects of financial turmoil on financial integration and risk premia in emerging markets
Authors: Salem Boubakri 
Raymond, H. 
Couharde, C. 
Issue Date: Sep-2016
Publisher: Elsevier
Journal: Journal of Empirical Finance 
Abstract: The aim of this article is to analyze how financial crises affect the dynamics of international financial integration and of the risk premia in emerging markets. Accordingly, we estimate a variant of the International Asset Pricing Model developed by Carrieri et al. (2007), allowing for time-varying stock market integration, in which we include the foreign currency risk. Our sample consists of monthly data for 12 emerging stock markets over the period 1988M3-2015M3. We find that while the financial integration of emerging stock markets has registered short-term reversals episodes in countries that have been exposed to national or/and regional financial crises, it has decreased in most of the emerging countries of our sample since the global crisis. Moreover, the upward trend in financial integration has not reduced the local market risk premium component as much as could be expected. However, the recent global crisis has induced a reassessment of the world market risk premium for all emerging countries, highlighting the global nature of the crisis. © 2016 Elsevier B.V..
URI: http://hdl.handle.net/20.500.12458/38
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2016.06.001
Appears in Collections:Articles

Show full item record

SCOPUSTM   
Citations 10

5
Last Week
0
Last month
0
checked on May 25, 2020

Page view(s) 20

10
Last Week
1
Last month
6
checked on May 22, 2019

Download(s) 10

8
checked on May 22, 2019

Google ScholarTM

Check


Items in Corepaedia are protected by copyright, with all rights reserved, unless otherwise indicated.