By Sabur Mollah, Asma Mobarek
Inventory marketplace integration among constructing and rising markets has various advantages for making a international - but sturdy - international financial system. It raises pageant and the potency of neighborhood markets, in flip decreasing fee volatility and the price of capital between built-in markets. It additionally generates capital flows, which counterpoint monetary balance and spur financial development. At its center, inventory marketplace integration has a big function to play in either constructing and rising markets nonetheless reeling from the worldwide monetary crisis.
Global inventory industry Integration analyzes the monetary make-up of constructing and rising markets round the realm, supplying empirical insights into marketplace integration, co-movements in fee, crises, and potency linkages. Mobarek and Mollah argue that the courting among industry integration and industry potency inside constructing and rising nations isn't the purely degree valuable for effecting genuine monetary progress. This paintings brings the overview of theories and empirical learn at the subject up to date and expands the present literature with new views on built and rising markets.
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Additional info for Global Stock Market Integration: Co-Movement, Crises, and Efficiency in Developed and Emerging Markets
According to Siegel (1956), as quoted in Mobarek and Keasey (2002, p. 14), a run is deﬁned as a sequence of consecutive identical symbols that are followed or preceded by different symbols or no symbols at all. In order to compare the observed number of runs in the series, the expected number of runs is calculated according to the following formula: m= 2n1 n2 +1 n Here, m indicates the expected number of runs, n1 and n2 represent the number of observations for each symbol, and n is the total number of observations.
Skewness for most indices appears as 0 or very close to 0. These ﬁndings can help in characterizing crisis as a lowreturn regime. However, we observe excess kurtosis in each of the nine indices, indicating that the return series are not normally distributed. The coefﬁcients of skewness and kurtosis are asymptotically distributed as N (0, 6/n) and N (0, 24/n). The ratios Value of Skewness Value of Kurtosis−3 √ √ and v2 = can be compared v1 = σ/n 24/n with the critical values from a standard normal distribution in order to test the hypothesis of normality.
In the same year, Claessens et al. (1995) investigated stock returns of 20 markets including Latin America and concluded that the return series rejects the weakform market efﬁciency hypothesis. Ojah and Karemera (1999) conducted a similar study on these markets and concluded that Latin American markets follow random walk and they are weak-form-efﬁcient except for Chile. Grieb and Reyes (1999), however, demonstrated that Brazil and Mexico are not weakform-efﬁcient. Ortiz and Arjona (2001) analyzed the time series characteristics of six major Latin American equity markets applying the GARCH framework and concluded that due to the presence of heteroskedasticity and autocorrelation, these markets are inefﬁcient.