The Behavior of International Stock Market Excess Returns in an Increasingly Integrated World

摘要: This chapter studies the behavior of international (i.e., emerging and advanced) stock market excess returns, both at country sector level, in a dynamic globally integrated context. A preliminary analysis confirms that markets have compensated investors with generous returns tend to be highly unstable. In addition, correlation between is increasing over time. Preliminary statistics also suggest been largely influenced by domestic shocks late 1990s early 2000s crises). contrast existing empirical findings, this shows financial liberalizations do not necessarily imply economic integration. Using de facto integration rises. The findings might strong implications for estimation cost capital implementation portfolio diversification strategies.