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WHAT DRIVES TIME VARIATION IN EMERGING MARKET SEGMENTATION?
Author(s) -
Hunter Delroy M.
Publication year - 2005
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.2005.00124.x
Subject(s) - openness to experience , capital market , liberalization , volatility (finance) , market integration , market liquidity , market segmentation , stock market , financial market , monetary economics , emerging markets , economics , currency , business , international economics , financial integration , stock (firearms) , financial system , financial economics , market economy , finance , macroeconomics , geography , psychology , social psychology , context (archaeology) , archaeology , microeconomics
I use American Depositary Receipts and underlying stocks to test the level of integration of the stock markets of Argentina, Chile, and Mexico into the world capital market in the post‐liberalization period. I find that these markets experience time‐varying integration and are, on average, still not highly internationally integrated. Furthermore, there is no distinct trend toward higher levels of integration. In fact, the markets of Argentina and Mexico have become increasingly segmented over the post‐liberalization period. I find that financial and economic openness, stock market liquidity and volatility, and the state of the currency market significantly affect the level of segmentation.