Bekaert, Geert, 1995, Market integration and investment barriers in emerging equity markets, World Bank Economic Review 9, 75-107.  Home/Search   Document Not in Database   Summary   Related Articles   Check

.... compare the average return of the winners portfolio with 3 In addition to short selling constraints, restrictions on foreign ownership and other capital controls in emerging markets may be important barriers to e#ective implementation of the stock selection strategies considered here, see Bekaert (1995). We address this point to some extent in Section 4, where we evaluate the performance of the strategies using only stocks included in the IFC Investables index. 5 an equally weighted index (EWI) consisting of all stocks in the relevant universe. To facilitate comparison of our results with ....

....to 0.53 percent per month in both sub periods. The change in excess returns from the B M, 6MR and ER FY1 strategies might be related to capital market liberalizations and structural reforms in emerging equity markets, which in most countries took place during the late 1980s and early 1990s. See Bekaert (1995) and Bekaert and Harvey (2000a) for detailed accounts and Bekaert and Harvey (2000b) and Henry (2000) for investigations into the e#ects of these reforms. Our results deviate from Bekaert et al. 1997, 1998) who find that mean returns in many emerging market countries were lower and the same, ....

[Article contains additional citation context not shown here]

Bekaert, Geert, 1995, Market integration and investment barriers in emerging equity markets, World Bank Economic Review 9, 75--107.

.... compare the average return of the winners portfolio with 3 In addition to short selling constraints, restrictions on foreign ownership and other capital controls in emerging markets may be important barriers to e ective implementation of the stock selection strategies considered here, see Bekaert (1995). We address this point to some extent in Section 4, where we evaluate the performance of the strategies using only stocks included in the IFC Investables index. 5 an equally weighted index (EWI) consisting of all stocks in the relevant universe. To facilitate comparison of our results with ....

....to 0.53 percent per month in both sub periods. The change in excess returns from the B M, 6MR and ER FY1 strategies might be related to capital market liberalizations and structural reforms in emerging equity markets, which in most countries took place during the late 1980s and early 1990s. See Bekaert (1995) and Bekaert and Harvey (2000a) for detailed accounts and Bekaert and Harvey (2000b) and Henry (2000) for investigations into the e ects of these reforms. Our results deviate from Bekaert et al. 1997, 1998) who nd that mean returns in many emerging market countries were lower and the same, ....

[Article contains additional citation context not shown here]

Bekaert, Geert, 1995, Market integration and investment barriers in emerging equity markets, World Bank Economic Review 9, 75-107.

....to the mean are significant when jointly considered with systematic risk. The lack of explanatory power of systematic risk can be explained in several ways. One is that emerging markets are not fully integrated with the world market, in which case beta is not an appropriate measure of risk. Bekaert [1995] argues that several barriers still prevent emerging markets from being fully integrated. Stulz [1995] argues that a local CAPM should be used in segmented markets and a global CAPM in integrated markets. Stulz [1999] further elaborates on the impact of globalization on the cost of capital. ....

....Total risk; IR: Idiosyncratic risk; Size: Log of average market cap; # # : Semideviation with respect to #; # f : Semideviation with respect to R f ; # 0 : Semideviation with respect to 0; # D : Downside beta; VAR: Value at risk. traded in different locations, to have different returns. 3 Bekaert [1995] distinguishes three types of barriers to the integration of emerging markets: direct barriers, such as restrictions on foreign ownership and capital controls; indirect barriers, such as poor information and accounting standards; and barriers arising from emerging market specific risks, such as ....

Bekaert, Geert. "Market Integration and Investment Barriers in Emerging Equity Markets." World Bank Economic Review, 9 (1995), pp. 75-107.

....on) the efficient frontier may generate essentially no cross sectional correlation between expected returns and betas. 2 In segmented markets, in contrast, barriers to arbitrage may allow assets with the same risk characteristics, but traded in different locations, to have different returns. 3 Bekaert (1995) distinguishes three types of barriers to the integration of emerging markets: Direct barriers, such as restrictions on foreign ownership and capital controls; indirect barriers, such as poor information and accounting standards; and barriers arising from emerging market specific risks, such as ....

Bekaert, G. (1995). "Market Integration and Investment Barriers in Emerging Equity Markets." World Bank Economic Review, 9, 75-107.

....markets fail in emerging markets. Bekaert and Harvey [1995] argue that emerging and developed markets cannot be treated similarly. They propose an asset pricing framework that allows for time varying integration. Indeed, the presence of barriers to international investment as documented in Bekaert [1995] immediately suggests that risk factors will differ across developed and emerging markets. I examine a comprehensive list of 18 risk factors, and analyze whether these risk factors explain expected returns in 47 different markets. In much of the analysis, I present three sets of results: ....

Bekaert, Geert. "Market Integration and Investment Barriers in Emerging Equity Markets." World Bank Economic Review, 9 (1995), pp. 75-107.

....speaking, one could think of expected returns in a partially segmented emerging market as reflecting some reward for the covariance with world returns as well as some reward for the market s own variance. One gets a hybrid CAPM that includes both variance as well as covariance with the world. Bekaert and Harvey (1995) critique the usual implementation of the partial integration segmentation model. The traditional model assumes that the degree of integration segmentation is fixed over time. However, this flies in the face of substantial liberalizations of equity markets in many emerging countries in the late ....

....assumes that the degree of integration segmentation is fixed over time. However, this flies in the face of substantial liberalizations of equity markets in many emerging countries in the late 1980s. That is, the traditional framework does not handle the dynamics of capital market integration. Bekaert and Harvey (1995) present an alternative framework for the valuation of emerging market assets. This framework explicitly recognizes that the integration process is gradual. Bekaert and Harvey parameterize and estimate a model that allows for a timevarying market integration. In the polar case of market ....

[Article contains additional citation context not shown here]

Bekaert, Geert, 1995, Market integration and investment barriers in emerging equity markets, World Bank Economic Review 9, 75--107.

....markets fail in emerging markets. Bekaert and Harvey (1995) argue that emerging and developed markets cannot be treated similarly. They propose an asset pricing framework that allows for time varying integration. Indeed, the existence of barriers to international investment as documented in Bekaert (1995), immediately suggests that risk factors will differ across developed and emerging markets. The plan of this paper is to examine a comprehensive list of 18 risk factors. I analyze whether these risk factors explain expected returns in 47 different markets. In much of my analysis, I present three ....

Bekaert, Geert, 1995, Market integration and investment barriers in emerging equity markets, World Bank Economic Review 9, 75--107.

....show that foreign investors are more likely to invest in securities that are large and well known. The IFC indexes pos 1 See Foerster and Karolyi 1999 , Miller 1999 , the survey in Karolyi 1998 , and Domowitz, Glen, and Madhavan 1997, 1998 for studies at the individual firm level and see Bekaert 1995 for a study at the market level. 2 Table CM V 4 reports on a monthly basis foreigners gross purchases of foreign stocks U.S. sales, column 7 and foreigners gross sales of foreign stocks U.S. purchases, column 14 . See Tesar and Werner 1995b for an early analysis and see Hamao and Mei ....

Bekaert, Geert, 1995, Market integration and investment barriers in emerging equity markets, World Bank Economic Review 9, 75--107.

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Bekaert, Geert, 1995, Market integration and investment barriers in emerging equity markets, World Bank Economic Review 9, 75-107.

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Bekaert, G., 1995, Market Integration and Investment Barriers in Emerging Equity Markets, World Bank Economic Review 9, 75-107.

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