期刊
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
卷 32, 期 -, 页码 184-218出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.intfin.2014.06.003
关键词
Financial integration; PCA; Industries; Systemic banking crises
This paper examines the dynamics of the financial integration process across equity markets in one global emerging region (Emerging) and three emerging sub-regions (Asia, Eastern Europe, Latin America) over the last two decades. The proportion of total variation in individual excess returns explained by the first principal component serves as a robust measure of integration. Financial integration is measured in the national equity market (market) and in ten different industrial equity markets (basic materials, consumer goods, consumer services, financials, healthcare, industrials, oil and gas, telecommunications, technology and utilities). We obtain two main results. First, we observe that the level of integration across emerging equity markets in emerging regions is rather low, both at the country and industry level. Second, the shape of the financial integration process is not homogeneous among different industries. Specifically, J-shaped, U-shaped and increasing trends are observed. Overall, our integration numbers and dynamics simultaneously improve portfolio diversification benefits and reduce risk-sharing opportunities. This is supported by a CAPMbased analysis. (C) 2014 Elsevier By. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据