Country Funds: A Channel for Emerging Equity Markets Integration

32 Pages Posted: 14 Jun 2001

See all articles by Fabiola Ravazzolo

Fabiola Ravazzolo

City University London

Kate Phylaktis

City University London - Sir John Cass Business School

Date Written: 2001

Abstract

This paper examines the financial links of a group of Pacific-Basin countries with U.S. and Japan by estimating the multivariate cointegration model in both the autoregressive and moving average forms over the period 1980-1998. The former allows us to examine the long-run relationships of these markets, and the latter the potential drivers of the system. Finally, the recursive analysis helps to identify the evolution of integration of these markets. The results for the early part of the period indicate that the relaxation of foreign ownership restrictions is not sufficient for capital market integration and that other factors must affect the portfolio diversification decision of foreign investors. On the other hand, the results of the more recent period suggest that the relaxation of the restrictions might have strengthened international market interrelations. Furthermore, investors have used alternative financial vehicles, such as Country Funds, to access highly regulated capital markets and strengthen their integration with world markets.

Keywords: Capital market integration, emerging markets, common stochastic trends

JEL Classification: F36, G15

Suggested Citation

Ravazzolo, Fabiola and Phylaktis, Kate, Country Funds: A Channel for Emerging Equity Markets Integration (2001). EFMA 2001 Lugano Meetings; Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=273464 or http://dx.doi.org/10.2139/ssrn.273464

Fabiola Ravazzolo

City University London ( email )

Frobisher Crescent
Barbican Centre
London, EC1V OHB
United Kingdom
(44) 171 477 8881 (Fax)

Kate Phylaktis (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

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