Time-varying market integration and expected returns in emerging markets

• 成果类型: Article
• 署名作者: de Jong, F; de Roon, FA
• 署名单位: Tilburg University; University of Amsterdam
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.10.010
• 发表日期: 2005
• 页码: 583-613
• 关键词: emerging markets; asset pricing; market segmentation

摘要

In the last two decades, emerging stock markets have become less segmented from world stock markets. The average annual decrease in se.-mentation of 0.055, on a [0,. 1] scale, reduces the cost of capital (measured by dividend yields) by about I I basis points, and reduces stock returns by about 4.5%. The decline in expected returns is due to a decrease in two types of segmentation. A fall in local segmentation accounts for about 2/3 of the decline in expected returns. The remaining 1/3 is due to a fall in the level of segmentation of the region. These results, which we document for 30 emerging markets, are robust to the addition of control variables. (c) 2005 Elsevier B.V. All rights reserved.