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Cross-Sectional Variations in the Degree of Global Integration: The Case of Russian Equities

Journal of International Financial Markets, Institutions & Money, 2000, 10(2), 131-150.

29 Pages Posted: 24 Jun 2015  

Pavel Fedorov

Morgan Stanley

Sergei Sarkissian

McGill University; Yerevan State University

Date Written: September 25, 1999

Abstract

While there is a significant amount of research on integration differences across countries, the integration variations across industry or market capitalization groups within a single country have been largely unexplored. The degree of integration, however, varies widely cross-sectionally. In this paper, we analyze the degree of integration of Russian stocks grouped into five size and five industry portfolios using the GMM methodology and conditional asset pricing model. In line with economic intuition, the estimates of average degrees of integration show a noticeable downward trend with a decrease in the portfolio size and are also smaller for less diversified industries. The strength of integration is higher for those portfolios that have more firms which cross-list their stocks on foreign exchanges and/or sell their output internationally.

Keywords: Conditional asset pricing, Average degree of integration, Portfolio diversification

JEL Classification: G12, G15

Suggested Citation

Fedorov, Pavel and Sarkissian, Sergei, Cross-Sectional Variations in the Degree of Global Integration: The Case of Russian Equities (September 25, 1999). Journal of International Financial Markets, Institutions & Money, 2000, 10(2), 131-150.. Available at SSRN: https://ssrn.com/abstract=2621603 or http://dx.doi.org/10.2139/ssrn.2621603

Pavel Fedorov

Morgan Stanley ( email )

London
United Kingdom

Sergei Sarkissian (Contact Author)

McGill University ( email )

1001 Sherbrooke St. W
Montreal, Quebec H3A 1G5
Canada
514-398-4876 (Phone)
514-398-3876 (Fax)

Yerevan State University

1 Alex Manoogian Street
Yerevan, 0025
Armenia

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