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Time-varying world market integration

Author: Geert Bekaert; Campbell R Harvey; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©1994.
Series: Working paper series (National Bureau of Economic Research), working paper no. 4843.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Database:WorldCat
Summary:
Abstract: We propose a conditional measure of capital market integration that allows us to characterize both the cross-section and time-series of expected returns in developed and emerging markets. Our measure, which arises from a conditional regime-switching model, 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  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Geert Bekaert; Campbell R Harvey; National Bureau of Economic Research.
OCLC Number: 51173006
Notes: "August 1994."
Description: 1 online resource (35, [11] pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 4843.
Responsibility: Geert Bekaert, Campbell R. Harvey.

Abstract:

Abstract: We propose a conditional measure of capital market integration that allows us to characterize both the cross-section and time-series of expected returns in developed and emerging markets. Our measure, which arises from a conditional regime-switching model, 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. Our results suggest that a number of emerging markets exhibit time-varying integration. Interestingly, some markets appear to be 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.

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