A dynamic model of stock market integration between emerging and developed markets.
Item
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Title
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A dynamic model of stock market integration between emerging and developed markets.
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Identifier
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AAI9820533
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identifier
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9820533
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Creator
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Gokcan, Suleyman.
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Contributor
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Adviser: Salih N. Neftci
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Date
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1998
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, General | Economics, Finance
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Abstract
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The purpose of this thesis is to analyze the time varying integration versus segmentation question for a number of emerging stock markets including Argentina, Brazil, Chile, Mexico, and Turkey vis-a-vis a global developed stock markets, and discuss the various issues regarding the volatility, and the predictability of the emerging stock market portfolio returns using both global and domestic information variables. I also analyzed the effect of time varying integration of the stock markets on return and risk of the investment of emerging markets. In this model expected returns, risks (variances and covariances), price of the risks, and integration measure are time varying. The variances in the model are calculated monthly by using ARCH (Auto Regressive Conditional Heteroskedasticity). Integration measure is formulated as logistic function of the local information variables, and takes the values between zero and one. I find the evidence supporting the hypothesis that all five countries in my sample are becoming more integrated with developed stock markets. As emerging stock markets become more integrated, their stock returns would response to same information variables as developed stock markets do.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
