Do Implicit Barriers Matter for Globalization?

60 Pages Posted: 22 Oct 2010

See all articles by Ines Chaieb

Ines Chaieb

University of Geneva - Geneva Finance Research Institute (GFRI); Swiss Finance Institute

Francesca Carrieri

McGill University - Desautels Faculty of Management

Vihang R. Errunza

McGill University - Desautels Faculty of Management

Multiple version iconThere are 3 versions of this paper

Date Written: September 21, 2010

Abstract

Market liberalization may not result in global pricing or full market integration if implicit barriers are important. We use the conditional version of the Errunza and Losq (1985) model to estimate pricing of investable indices for 22 emerging markets and test this proposition. Our results show that local factors are priced and the implicit barriers are significantly associated with the integration measure. Specifically, better institutions, stronger corporate governance and more transparent markets would jointly contribute to a higher degree of integration by about 30 percent.

Keywords: International Asset Pricing, Emerging Markets, Market Integration

JEL Classification: G15, F30, G30

Suggested Citation

Chaieb, Ines and Carrieri, Francesca and Errunza, Vihang R., Do Implicit Barriers Matter for Globalization? (September 21, 2010). Paris December 2010 Finance Meeting EUROFIDAI - AFFI, Available at SSRN: https://ssrn.com/abstract=1695503

Ines Chaieb (Contact Author)

University of Geneva - Geneva Finance Research Institute (GFRI) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, Geneva 1211
Switzerland
+41223798568 (Phone)

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Francesca Carrieri

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada
514-398-1582 (Phone)
514-398-3876 (Fax)

Vihang R. Errunza

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada
514-398-4056 (Phone)
514-398-3876 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
54
Abstract Views
943
rank
84,384
PlumX Metrics