Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility

Hatemi-J, Abdulnasser and Morgan, Bryan (2007) Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility. Applied Financial Economics, 17 15: 1245-1250. doi:10.1080/09603100600915243


Author Hatemi-J, Abdulnasser
Morgan, Bryan
Title Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility
Journal name Applied Financial Economics   Check publisher's open access policy
ISSN 1466-4305
0960-3107
Publication date 2007-10
Sub-type Article (original research)
DOI 10.1080/09603100600915243
Volume 17
Issue 15
Start page 1245
End page 1250
Total pages 6
Place of publication Oxon, United Kingdom
Publisher Routledge
Language eng
Subject 140305 Time-Series Analysis
140207 Financial Economics
Abstract 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.
Keyword Deregulation
Economic integration
Financial market
Global economy
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Excellence in Research Australia (ERA) - Collection
ERA 2012 Admin Only
School of Economics Publications
 
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Created: Wed, 11 Mar 2009, 17:26:43 EST by Gina Velli on behalf of School of Economics