Arouri, Mohamed El Hedi; Nguyen, Duc Khuong; … - In: Journal of Banking & Finance 36 (2012) 9, pp. 2473-2493
sample emerging markets have become more integrated in the recent years. The local risk premium for emerging markets … undiversifiable internationally. We also introduce a suitable framework to test this model empirically. Using a sample of six emerging … markets and three mature markets, we find that the degree of stock market integration varies through time and that most of the …