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http://ssrn.com/abstract=1108156
 
 

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What Segments Equity Markets?


Geert Bekaert


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Campbell R. Harvey


Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

Christian T. Lundblad


University of North Carolina Kenan-Flagler Business School

Stephan Siegel


University 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.

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Date posted: March 27, 2008 ; Last revised: September 19, 2012

Suggested Citation

Bekaert, Geert and Harvey, Campbell R. and Lundblad, Christian T. and Siegel, Stephan, What Segments Equity Markets? (February 1, 2011). Netspar Discussion Paper No. 02/2011-031; AFA 2009 San Francisco Meetings Paper; National Bank of Poland Working Paper No. 76. Available at SSRN: http://ssrn.com/abstract=1108156 or http://dx.doi.org/10.2139/ssrn.1108156

Contact Information

Geert Bekaert
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Campbell R. Harvey (Contact Author)
Duke University - Fuqua School of Business ( email )
Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)
919-660-8030 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Christian T. Lundblad
University of North Carolina Kenan-Flagler Business School ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States
919-962-8441 (Phone)

Stephan Siegel
University of Washington - Michael G. Foster School of Business ( email )
Box 353200
Seattle, WA 98195-3200
United States
HOME PAGE: http://faculty.washington.edu/ss1110/
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