What Segments Equity Markets?
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
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
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
Date posted: March 27, 2008 ; Last revised: September 19, 2012
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