Professors Francesca Carrieri and Vihang Errunza win Emerald Management Reviews Citation of Excellence

Published: 8 November 2011

Professors Francesca Carrieri and Vihang Errunza have won an Emerald Management Reviews Citation of Excellence for their article "Characterizing world market integration through time", published in the Journal of Financial and Quantitative Analysis in 2007.


Purpose - To assess market integration in eight emerging markets between 1977 and 2000.

Design/methodology/approach - Takes an international asset pricing model (IAPM), using industry portfolios, country funds and American Depositary Receipts and GARCH-in-mean methodology to estimate the Errunza and Losq (1985) IAPM. Creates an Integration Index based on the level of local market risk that is priced relative to global systematic risk.

Findings - Finds that local risk remains important, but there is a wide variation between emerging markets. Shows Mexico is the most integrated, and India the most segmented; while there are temporary reversals. Notes that some countries integrated only in the latest period.

Research limitations/implications - Warns against using correlations of country index returns with global market structure. Implies that further research may establish that financial market integration may be linked to market development, liberalization and economic growth.

Originality/value - Reveals that the full benefits of trade liberalization are yet to be obtained.

Read more about the Emerald Management Reviews Citation of Excellence.


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