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A Test for Increased Capital Market Integration

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  • Alford, Alan
  • Folks, William R, Jr

Abstract

This study examines the pricing of assets under differential ownership restrictions. A model is developed which yields a coefficient of integration that is dimension free and is directly related to the strength of all barriers to international investment. These characteristics enable an intertemporal comparison of the level of capital market integration. The model is then used to test the hypothesis of increased capital market integration over time. Using data from Morgan Stanley Capital International and analyzing them with the nonparametric Page test, support is found for this hypothesis. The results are robust to the currency numeraire used. Copyright 1996 by MIT Press.

Suggested Citation

  • Alford, Alan & Folks, William R, Jr, 1996. "A Test for Increased Capital Market Integration," The Financial Review, Eastern Finance Association, vol. 31(1), pages 1-23, February.
    • Handle: RePEc:bla:finrev:v:31:y:1996:i:1:p:1-23
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    Cited by:

    1. Alan Alford & Daryl M. Guffey, 1996. "A re‐examination of international seasonalities," Review of Financial Economics, John Wiley & Sons, vol. 5(1), pages 1-17, December.
    2. Alford, Alan & Guffey, Daryl M., 1996. "A re-examination of international seasonalities," Review of Financial Economics, Elsevier, vol. 5(1), pages 1-17.
    3. Kunkel, Robert A. & Compton, William S. & Beyer, Scott, 2003. "The turn-of-the-month effect still lives: the international evidence," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 207-221.
    4. Salter, Stephen B., 1998. "Corporate financial disclosure in emerging markets: Does economic development matter?," The International Journal of Accounting, Elsevier, vol. 33(2), pages 211-234.

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