Time-varying market integration and expected returns in emerging markets

Journal of Financial Economics - Tập 78 - Trang 583-613 - 2005
Frank de Jong1, Frans A. de Roon2
1Finance Group, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands
2Tias Business School, Department of Finance and CentER, Tilburg University, P.O. Box 90153, 5000 LE Tilburg, The Netherlands