most citedStock market integration in the Latin American markets: further evidence from nonlinear modeling

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q-fin.ST2009★ 3 cited

Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects

Mohamed El Hedi Arouri

In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process…

q-fin.ST2009★ 12 cited

Stock market integration in the Latin American markets: further evidence from nonlinear modeling

Fredj Jawadi, Nicolas Million, Mohamed El Hedi Arouri

This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques…