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The Economics and Finance Letters

March 2014, Volume 1, 3, pp 15-23

Financial Integration and International Risk Diversification

Kaouther Amiri

,

Besma Talbi

Kaouther Amiri 1
Besma Talbi 2

  1. LMC, Faculte des Sciences Juridiques Economiques et Gestion de Jendouba 1

  2. Laboratoire d Economie et Gestion Industrielle (LEGI) a l Ecole Polytechnique de Tunisie, Faculte des Sciences Juridiques Economiques et Gestion de Jendouba 2

Pages: 15-23

DOI: 10.18488/journal.29/2014.1.3/29.3.15.23

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Abstract:

The effect of international financial integration on performance strategies diversification is ambiguous for countries émergents1. It is explained by two reasons: hand, financial integration of national markets makes international diversification portfolios more efficiently, and helping the transition from one market to another and increasing efficiency of financial markets. On the other hand, financial integration increased correlations between national financial markets, reducing income strategies international diversification. We will show that this ambiguity is due to the use different properties with different testing procedures provided in the literature econometric. This is of particular interest to the present unit root test in the presence arch.
Contribution/ Originality

Keywords:


Reference:

  1. Arouri, M.E.H., 2006. La prime de risque dans un cadre international: Le risque de change est-il apprécié ? Revue Finance, (27): 131-170.
  2. Forbes, K.J. and D. Chinn, 2003. A decomposition of global linkages in financial markets over time. Working Paper No. 4414-03.
  3. Gerard, B., K. Thanyalakpark and J. Batten, 2003. Are the East Asian markets integrated evidence from the ICAPM. Journal of Economics and Business, 55(5-6): 585-607.
  4. Kaminsky, G. and S. Schmukler, 2001. Short-lived or long-lasting? A new look at the effects of capital controls. Brookings Trade Forum 2000, 125.
  5. Schwert, G.W., 2003. Anomalies and market efficiency. Handbook of the Economics of Finance, (1).

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