دانلود مقاله ISI انگلیسی شماره 97855
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
97855 2017 58 صفحه PDF سفارش دهید 20762 کلمه
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عنوان انگلیسی
Which market integration measure?
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 76, March 2017, Pages 150-174

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چکیده انگلیسی

This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In addition, we evaluate the performance of each measure by relying on an established international finance result, i.e., increasing financial integration leads to declining international portfolio diversification benefits. Using monthly equity market data for three different country groups (i.e., developed markets, emerging markets, developed plus emerging markets) and a dynamic indicator of international portfolio diversification benefits, we find that (i) all measures give rise to a very similar long-run integration pattern; (ii) the standard correlation explains variations in diversification benefits as well or better than more sophisticated measures. These findings are robust to a battery of robustness checks.

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