Nonlinear Stock Market Integration in Emerging Countries

Mohamed El Hedi AROURI, Fredj JAWADI

Abstract


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.


Full Text: PDF DOI: 10.5539/ijef.v2n5p79

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This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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