Time‐Varying World Market Integration

Published

Journal Article

We propose a measure of capital market integration arising from a conditional regime‐switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit time‐varying integration. Some markets appear more integrated than one might expect based on prior knowledge of investment restrictions. Other markets appear segmented even though foreigners have relatively free access to their capital markets. While there is a perception that world capital markets have become more integrated, our country‐specific investigation suggests that this is not always the case. 1995 The American Finance Association

Full Text

Cited Authors

  • BEKAERT, G; HARVEY, CR

Published Date

  • January 1, 1995

Published In

Volume / Issue

  • 50 / 2

Start / End Page

  • 403 - 444

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/j.1540-6261.1995.tb04790.x

Citation Source

  • Scopus