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William Shambora and Shamila Jayasuriya
''The world is shrinking: Evidence for stock market convergence''
( 2008, Vol. 7 No.14 )
The relationship between eleven emerging stock markets and the U.S. stock market is examined. The beta for each market is estimated under a GARCH model designed to account for time-varying and exchange rate volatility. Entire period as well as pre- and post-liberalization sub-period models are estimated. Most (nine) of the markets show evidence of stock market convergence five markets have betas not distinguishable from unity. The two markets that exhibit divergence still show significant correlation with the U.S. market.
Manuscript Received : Oct 08 2008 Manuscript Accepted : Oct 14 2008

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