ASSET PRICING, MARKET INTEGRATION, AND CONTAGION: A BIBLIOMETRIC PERSPECTIVE

This paper provides a comprehensive bibliometric analysis of the existing literature concerning the broader
asset pricing literature, with a particular focus on the topics of market integration, financial contagion, risk
transmission, and institutional quality across developed, emerging, and frontier financial markets. Using a large
bibliographic database and a controlled thesaurus-based keyword harmonization procedure, the study maps the
intellectual structure, thematic evolution, and clustering of the research within the literature over the period 1980
2025. The analysis reveals that asset pricing research has expanded substantially over the past decades, yet it remains
highly fragmented across several independent research streams. Multifactor asset pricing models, financial integration
and globalization, volatility spillovers and contagion, ESG-related risk, and emerging and frontier market studies are
shown to evolve largely in isolation from one another. Bibliometric evidence suggests that asset pricing studies
primarily focus on factor construction and model performance, while integration and contagion are predominantly
viewed as financial stability or macroeconomic elements, with limited consideration given to their implications for
asset pricing. Similarly, ESG-related research forms a rapidly growing but thematically segmented cluster, and market
classifications are typically employed as descriptive categories rather than as structural dimensions of pricing
dynamics. By adopting a comprehensive framework, this paper complements the existing literature by explicitly linking
these segmented research domains and by documenting how their thematic trajectories overlap, diverge, and evolve in
response to major economic events and structural changes in global financial markets. The findings acknowledge the
need for more integrated research approaches that jointly consider asset pricing, market integration, contagion
mechanisms, and institutional context, and they provide a structured foundation for future empirical and policy
oriented investigations in globally interconnected financial systems.