Time-Varying World Market Integration

49 Pages Posted: 11 Jun 2000 Last revised: 30 Sep 2010

See all articles by Geert Bekaert

Geert Bekaert

Columbia Business School - Finance and Economics

Campbell R. Harvey

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

Multiple version iconThere are 3 versions of this paper

Date Written: August 1994


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.

Suggested Citation

Bekaert, Geert and Harvey, Campbell R., Time-Varying World Market Integration (August 1994). NBER Working Paper No. w4843, Available at SSRN: https://ssrn.com/abstract=226522

Geert Bekaert (Contact Author)

Columbia Business School - Finance and Economics ( email )

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Campbell R. Harvey

Duke University - Fuqua School of Business ( email )

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