Purpose This study explores the integration of 11 emerging stock markets with major global markets (the United States, the United Kingdom and Japan) from January 2001 to December 2022. Design/methodology/approach The research examines both linear and nonlinear relationships using the autoregressive distributed lag (ARDL) model. The linear ARDL model assesses short- and long-run relationships between emerging and global equity market returns. In contrast, the nonlinear ARDL model tests asymmetric effects, analyzing whether stock market integration follows a nonlinear pattern. Findings The findings indicate that emerging markets exhibit higher volatility than mature markets and respond asymmetrically to global financial shocks. Specifically, these markets are more sensitive to global capital flows during periods of increased volatility, affecting their policy responses. Practical implications This suggests that emerging markets integrate differently under varying financial conditions, emphasizing the need for tailored policy measures to manage financial risks. Originality/value This study provides one of the earliest comprehensive cross-country analyses of the asymmetric link between global financial market and emerging economies. It contributes to understanding how global financial linkages influence emerging markets, offering insights for policymakers, investors and researchers navigating financial market integration.
Hajilee et al. (Mon,) studied this question.