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Capital Controls and Market Segmentation of Emerging Stock Markets

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Authors

Cornelius, Peter K.

Issue Date
1992-07
Publisher
Institute of Economic Research, Seoul National University
Citation
Seoul Journal of Economics, Vol.5 No.3, pp. 289-300
Keywords
portfolio effectsstock market(G)ARCH models
Abstract
Using cointegration analysis. this paper studies to what extent share prices in emerging stock markets are linked to price movements in industrial country markets. Three markets are chosen which differ significantly with respect to their barriers to access. The results suggest that capital controls have generally been effective to insulate the domestic market from foreign disturbances. implying that their removal will likely cause important portfolio effects.
ISSN
1225-0279
Language
English
URI
https://hdl.handle.net/10371/962
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