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Stock Market Integration in Emerging Countries: Further Evidence from the Philippines and Mexico

By Mohamed El, Hedi Arouri and Fredj Jawadi

Abstract

This article investigates the stock market integration hypothesis of two emerging countries (the Philippines and Mexico) into the world capital market over the last three decades. To check this hypothesis in the short and long run, we use the nonlinear cointegration techniques. Our results show that both stock markets are nonlinearly integrated into the world market, although the degree of integration is higher for Mexico. Furthermore, we show that the stock market integration process is nonlinear, asymmetric and time-varying

Topics: Nonlinear Cointegration, Stock Market Integration and Emerging Markets. JEL Classification, C22, F37, G15
Year: 2013
OAI identifier: oai:CiteSeerX.psu:10.1.1.353.1615
Provided by: CiteSeerX
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