Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79570
Authors: 
Tam, Pui Sun
Tam, Pui I.
Year of Publication: 
2012
Series/Report no.: 
SFB 649 Discussion Paper 2012-052
Abstract: 
This paper aims to study the extent of integration among developed and emerging stock markets in the onset of globalization through the formulation of a unified conceptual framework that synthesizes the stock valuation model and the convergence hypothesis. Market integration manifests in the convergence of stock valuation ratios of markets in the long run, where valuation ratios are reflective of stock fundamentals driven by common global factors across markets. The spectrum of transition dynamics of markets towards integration is explored with variants of valuation ratios and different notions of convergence. Results reveal the time-varying nature of the global stock market integration process that is characterized by heterogeneous transition experience of markets at both the total market and disaggregated industrial sector levels.
Subjects: 
Convergence
Stock market integration
Valuation ratio
JEL: 
F36
G12
G15
Document Type: 
Working Paper

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