SHERP

Capital Controls and Market Segmentation of Emerging Stock Markets

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Authors
Cornelius, Peter K.
Issue Date
1992
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 5 (No. 3 1992): 289-300
Keywords
portfolio effects; stock 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
http://hdl.handle.net/10371/962
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.05(3) (Fall 1992)
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