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Time‐Varying World Market Integration
Author(s) -
BEKAERT GEERT,
HARVEY CAMPBELL R.
Publication year - 1995
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1995.tb04790.x
Subject(s) - capital market , market integration , sample (material) , emerging markets , investment (military) , measure (data warehouse) , capital (architecture) , economics , business , financial market , monetary economics , financial economics , microeconomics , macroeconomics , finance , computer science , geography , chemistry , archaeology , chromatography , database , politics , political science , law
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.