| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP3152
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| DP3152 Multinational Investment, Industry Risk and Policy Competition |
| Jan I. Haaland; Ian Wooton
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| 发表日期 | 2002
|
| 出版年 | 2002
|
| 语种 | 英语
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| 摘要 | We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market. The level of integration is a time-varying variable that depends on the market value of the assets that can be held by domestic investors only versus the market value of the assets that can be traded freely. Our empirical analysis for 30 emerging markets shows that there are strong effects of the level of integration or segmentation on the expected returns in emerging markets. The expected returns depend both on the level of segmentation of the emerging market itself and on the regional segmentation level. We also find that there is significant time-variation in the betas relative to the world portfolio because of the level of segmentation. For the composite index of the emerging markets we find an annual increase in beta of 0.09 due to decreased segmentation of the emerging markets in our sample period. In terms of expected returns the total effect on the composite index translates into an average decrease of 4.5% per annum. As predicted by our model, the noninvestable assets are more sensitive to the local and less to the regional level of segmentation than the investable assets. These conclusions do not change when using additional control variables. We do not find a clear pattern between volatility and segmentation, however. |
| 主题 | Financial Economics
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| 关键词 | Emerging markets
Asset pricing
market integration
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| URL | https://cepr.org/publications/dp3152
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532170
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推荐引用方式
GB/T 7714 |
Jan I. Haaland,Ian Wooton. DP3152 Multinational Investment, Industry Risk and Policy Competition. 2002.
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