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What Segments Equity Markets?Geert BekaertColumbia Business School - Finance and Economics; National Bureau of Economic Research (NBER) Campbell R. HarveyDuke University - Fuqua School of Business; National Bureau of Economic Research (NBER) Christian T. LundbladUniversity of North Carolina Kenan-Flagler Business School Stephan SiegelUniversity of Washington - Michael G. Foster School of Business February 1, 2011 Netspar Discussion Paper No. 02/2011-031 AFA 2009 San Francisco Meetings Paper National Bank of Poland Working Paper No. 76 Abstract: We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many countries, the level of segmentation remains significant in emerging markets. We characterize the factors that account for variation in market segmentation both through time as well as across countries. Both a country's regulation with respect to foreign capital flows and certain non-regulatory factors are important. In particular, we identify a country's political risk profile and its stock market development as two additional local segmentation factors as well as the U.S. corporate credit spread as a global segmentation factor.
Number of Pages in PDF File: 61 working papers seriesDate posted: March 27, 2008 ; Last revised: September 19, 2012Suggested CitationContact Information
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