Time-Varying World Market Integration

49 Pages Posted: 12 Sep 2005

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); Duke Innovation & Entrepreneurship Initiative

Multiple version iconThere are 3 versions of this paper

Date Written: August 1994

Abstract

We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure 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. We find that a number of emerging markets exhibit time-varying integration. Some markets appear 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. While there is a perception that world capital markets have become more integrated, our country-specific investigation suggests that this is not always the case.

Keywords: Emerging markets, cost of capital, market integration, market segmentation, capital market reforms, market liberalization, financial openness, regime switching

JEL Classification: G12, G15, F30

Suggested Citation

Bekaert, Geert and Harvey, Campbell R., Time-Varying World Market Integration (August 1994). Available at SSRN: https://ssrn.com/abstract=796189 or http://dx.doi.org/10.2139/ssrn.796189

Geert Bekaert

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
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)

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Cambridge, MA 02138
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Duke Innovation & Entrepreneurship Initiative ( email )

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Durham, NC 27701
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