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Sources of Capital Market Segmentation: Empirical Evidence from Finland
Author(s) -
Vaihekoski Mika,
Nummelin Kim
Publication year - 2001
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.2001.tb00014.x
Subject(s) - equity (law) , market liquidity , market segmentation , financial economics , german , economics , capital asset pricing model , market integration , portfolio , capital market , business , econometrics , monetary economics , finance , macroeconomics , archaeology , political science , law , history , microeconomics
Because Finland has experienced profound economic changes and financial deregulation since the mid‐1980s, we use it as a laboratory to explore issues related to time‐varying global equity market integration. Using a Finnish perspective, we construct two different portfolios of Finnish firms and a conditional one‐factor international asset pricing model. We examine whether the segmentation varies over time and across assets. We use time‐series variables for changing market integration (lagged foreign equity ownership, difference between Finnish and German short‐term interest rates, and a portfolio‐specific liquidity measure) and crosssectional variables (size and book‐to‐market ratios and industry sector) to show variation in integration.