Time-Varying World Market Integration
Time-Varying World Market Integration
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DOI：
10.2139/ssrn.796189
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发表时间：
1994-08
影响因子：
1.2
通讯作者：
G. Bekaert;Campbell R. Harvey
中科院分区：
文献类型：
--
作者：
G. Bekaert;Campbell R. Harvey
我们提出了一个衡量资本市场一体化所产生的条件制度转换模型。我们的测量使我们能够描述在样本的一部分中从世界资本市场分割出来并在样本中稍后整合的国家的预期回报。我们发现，一些新兴市场表现出随时间变化的整合。有些市场似乎比人们根据对投资限制的事先了解所预期的更加一体化。其他市场似乎是分割的，尽管外国人可以相对自由地进入其资本市场。虽然人们认为世界资本市场已变得更加一体化，但我们对具体国家的调查表明，情况并非总是如此。
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.