This paper
investigates the impact of the international equity market integration to the
international nonsynchronous trading effects (INTE). The paper finds that the
financial market integration would increase INTE, in general, and the impact
monotonically decreases over the lag length. However empirical evidence
suggests that the increase is asymmetric among developed and emerging markets.
Further theoretical investigation reveals that the level of volatility and
autocorrelation are positively related to the increase in INTE. The paper
concludes that the relatively higher level of volatility and autocorrelation in
emerging markets could mitigate the increase in INTE from financial market integration.
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