Characterizing Global Financial and Economic Integration through Analyst Forecast
Eliza Wu, University of Technology, Sydney
20th Apr 2012 11:30 am - Room 214/215, H69 - Economics and Business Building
This paper presents new evidence on international financial market integration using stock analyst earnings forecasts from 37 countries around the world. By examining cash flow (CF) and discount rate (DR) news co-movements, we find that the influence of these two driving forces of global market integration have diverged over time as DR news have become more important than CF news over the past decade. However, this divergence is less severe in emerging markets compared with developed markets where expected return news has played a less prominent role. We interpret this as being that financial integration has developed relatively slowly in emerging markets due to the hampering effects of their poor information environments.