We want to test the ability of conditional and non-conditional CAPM models to explain the returns on emerging markets as a function of their integration with world markets. We use data on 16 developed markets and 10 emerging markets together with data on the Casablanca Stock Exchange (CSE)...

To enhance our understanding of emerging markets we study a data set containing all the transaction records over a long span. The market, which was included in 1996 in the International Finance Corporation (IFC) data base roughly three years after important market reforms, operated under a dual...