TY  - UNPD
A1  - Billio, Monica
A1  - Donadelli, Michael
A1  - Paradiso, Antonio
A1  - Riedel, Max
T1  - Which market integration measure?
T2  - SAFE working paper series ; No. 159
N2  - This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In addition, we evaluate the performance of each measure by relying on an established international finance result, i.e., increasing financial integration leads to declining international portfolio diversification benefits. Using monthly equity market data for three different country groups (i.e., developed markets, emerging markets, developed plus emerging markets) and a dynamic indicator of international portfolio diversification benefits, we find that (i) all measures give rise to a very similar long-run integration pattern; (ii) the standard correlation explains variations in diversification benefits as well or better than more sophisticated measures. These Findings are robust to a battery of robustness checks.
T3  - SAFE working paper - 159 
KW  - equity market integration
KW  - dynamic correlation
KW  - principal components
KW  - international diversification benefits
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/42139
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-421397
PB  - SAFE
CY  - Frankfurt am Main
ER  -