Financial integration, economic instability and trade structure in emerging markets
- 作者：Anthony Chambet ; Rajna Gibson
- 关键词：Emerging markets ; Economic instability ; Stock market integration ; International trade
- 刊名：Journal of International Money and Finance
- 出版年：2008
- 期刊代码：66_02615606
- 类别：soc
- 出版时间：June 2008
- 卷：27
- 期：4
- 页码：654-675
- 文件大小：369 K
摘要
In this study, we estimate the level of financial integration using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk. We find that emerging markets still remain to a large extent segmented and that financial integration has decreased during the financial crises of the 1990s. We next investigate the relationship between a country's trade concentration and its level of financial integration. We find that countries with an undiversified trade structure have more integrated financial markets. Finally, our results suggest that countries less open to trade are more segmented.