文章基本信息

标题：Nonlinear Stock Market Integration in Emerging Countries
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作者：Mohamed El Hedi AROURI ; Fredj JAWADI
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2010
卷号：2
期号：5
页码：79
DOI：10.5539/ijef.v2n5p79
出版社：Canadian Center of Science and Education
摘要：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.