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Emerging Markets exhibit time varying integration with the developed markets with changes not only observed in the degree of expected returns and equity premium but the risk exposures and their sensitivities to the exposures also changes over time. The degree of variation observed in the level of integration in one particular market may be different from others leading to wide cross sectional differences expected returns, equity premium and risk exposures. The academic work in the context of emerging markets could have important implications not only for asset pricing mechanism and capital allocation decision by foreign investors but also for the domestic policymakers who are endeavouring to explore best policy prescription to integrate their economy with that of global market place for reaping the benefits of economic and financial globalization.

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Chandra Thapa is currently a final year PhD Candidate at Cranfield School of Management, United Kingdom. He obtained his MBA in International Banking and Finance from Birmingham Business School, United Kingdom. He has over seven years of industry experience in banking industry.

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