Download now Free registration required
In a broad sample of developed and emerging economies over the past ten years the authors apply the approximate factor model in a search for common global and regional driving-forces in stock market returns and volatility. They focus particularly on two emerging stock markets - Russia and China, because of their unique characteristics and performance in the past years. They find that while Russian markets, like the CEEC region, substantially increased their integration with global stock markets, both the Chinese A- and B-share markets continued to move largely independently from global movements and only slightly increased in comovement with regional forces.
- Format: PDF
- Size: 2171.2 KB