Carrieri, Francesca; Errunza, Vihang; Hogan, Ked - In: Journal of Financial and Quantitative Analysis 42 (2007) 04, pp. 915-940
International asset pricing models suggest that barriers to portfolio flows and availability of market substitutes affect the degree and time variation of world market integration. We use GARCH-in-mean methodology to assess the evolution in market integration for eight emerging markets over the...