Emerging Debt and Equity Markets: An Exploratory Investigation of Integration Using Daily Data

Federal Reserve Bank of Atlanta WP 96-7

Posted: 18 Jan 1996

See all articles by Stephen D. Smith

Stephen D. Smith

(Deceased)

Mandeep S. Chahal

Enron Corporation

Michael J. Rebello

University of Texas at Dallas - Naveen Jindal School of Management

Date Written: 1996

Abstract

In this paper we examine integration between emerging and U.S. debt and equity markets. We first investigate price changes around significant "events," in this case changes in short-term U.S. interest rates brought about by actions of the Federal Reserve. Second, we estimate the predictability of returns using both domestic and U.S. variables. Finally, we test whether a single latent variable can explain these returns. The evidence suggests that the degree of integration varies with security types and the country of origin. However, these differences between security types become less apparent over time.

JEL Classification: F36, G14, G15

Suggested Citation

Smith, Stephen Dewitt and Chahal, Mandeep S. and Rebello, Michael J., Emerging Debt and Equity Markets: An Exploratory Investigation of Integration Using Daily Data (1996). Federal Reserve Bank of Atlanta WP 96-7. Available at SSRN: https://ssrn.com/abstract=4258

Mandeep S. Chahal (Contact Author)

Enron Corporation

1400 Smith Street
Houston, TX 77002-7316
United States

Michael J. Rebello

University of Texas at Dallas - Naveen Jindal School of Management ( email )

P.O. Box 830688
Richardson, TX 75083-0688
United States

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