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| Author: | Bekaert, G. Harvey, C. |
| Title: | Time-varying world market integration |
| Journal: | Journal of Finance
1995 : JUN, VOL. 50:2, p. 403-444 |
| Index terms: | FINANCE TIME MARKETS |
| Language: | eng |
| Abstract: | The authors propose a measure of capital market integration arising from a conditional regime-switching model. This measure allows them to describe expected returns in countries that are segemented from world capital markets in one part of the sample and become integrated later in the sample. the authors 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. |
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