دانلود مقاله ISI انگلیسی شماره 45546
ترجمه فارسی عنوان مقاله

آیا عدم تجانس در پویایی یکپارچگی مالی وجود دارد؟ شواهد از شاخصهای سهام بازار نوظهور کشور و صنعت

عنوان انگلیسی
Is there heterogeneity in financial integration dynamics? Evidence from country and industry emerging market equity indexes ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
45546 2014 35 صفحه PDF
منبع

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

Journal : Journal of International Financial Markets, Institutions and Money, Volume 32, September 2014, Pages 184–218

ترجمه کلمات کلیدی
یکپارچگی مالی - PCA - صنایع - بحران بانکی
کلمات کلیدی انگلیسی
F15; F44; G15Financial integration; PCA; Industries; Systemic banking crises
پیش نمایش مقاله
پیش نمایش مقاله  آیا عدم تجانس در پویایی یکپارچگی مالی وجود دارد؟ شواهد از شاخصهای سهام بازار نوظهور کشور و صنعت

چکیده انگلیسی

This paper examines the dynamics of the financial integration process across equity markets in one global emerging region (Emerging) and three emerging sub-regions (Asia, Eastern Europe, Latin America) over the last two decades. The proportion of total variation in individual excess returns explained by the first principal component serves as a robust measure of integration. Financial integration is measured in the “national equity market” (market) and in ten different “industrial equity markets” (basic materials, consumer goods, consumer services, financials, healthcare, industrials, oil and gas, telecommunications, technology and utilities). We obtain two main results. First, we observe that the level of integration across emerging equity markets in emerging regions is rather low, both at the country and industry level. Second, the shape of the financial integration process is not homogeneous among different industries. Specifically, J-shaped, U-shaped and increasing trends are observed. Overall, our integration numbers and dynamics simultaneously improve portfolio diversification benefits and reduce risk-sharing opportunities. This is supported by a CAPM-based analysis.