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Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility
Högskolan i Skövde, Institutionen för teknik och samhälle.
Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Brisbane, QLD 9726, Australia.
2007 (engelsk)Inngår i: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 17, nr 15, s. 1245-1250Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

Due to increasing globalization and its potential benefits, many emerging markets have introduced capital liberalization policies to attract much needed foreign direct investment. The objective of this article is to empirically investigate whether the conducted deregulation policies resulted in greater integration of emerging financial markets with the world market. For this purpose, a novel method introduced by Hatemi-J and Hacker (2005) is utilized to calculate the parameters as well as to test the significance of these parameters. This method is shown to be robust to nonnormality and time-varying volatility that usually characterize financial data and therefore it can provide more accurate inference compared to other methods. We find that only four of 17 emerging markets have become more integrated with the world market after implementing the liberalization policy.

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Routledge, 2007. Vol. 17, nr 15, s. 1245-1250
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URN: urn:nbn:se:his:diva-2946DOI: 10.1080/09603100600915243Scopus ID: 2-s2.0-34848908356OAI: oai:DiVA.org:his-2946DiVA, id: diva2:210697
Tilgjengelig fra: 2009-04-03 Laget: 2009-04-03 Sist oppdatert: 2017-12-13bibliografisk kontrollert

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