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Sources of Capital Market Segmentation: Empirical Evidence from Finland

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  • Vaihekoski, Mika
  • Nummelin, Kim

Abstract

Because Finland has experienced profound economic changes and financial deregulation since the mid-1980s, we use it as a laboratory to explore issues related to time-varying global equity market integration. Using a Finnish perspective, we construct two different portfolios of Finnish firms and a conditional one-factor international asset pricing model. We examine whether the segmentation varies over time and across assets. We use time-series variables for changing market integration (lagged foreign equity ownership, difference between Finnish and German short-term interest rates, and a portfolio-specific liquidity measure) and crosssectional variables (size and book-to-market ratios and industry sector) to show variation in integration. Copyright 2001 by MIT Press.

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Bibliographic Info

Article provided by Eastern Finance Association in its journal The Financial Review.

Volume (Year): 36 (2001)
Issue (Month): 2 (May)
Pages: 139-59

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Handle: RePEc:bla:finrev:v:36:y:2001:i:2:p:139-59

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Web page: http://www.easternfinance.org/
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Cited by:
  1. Antell, Jan & Vaihekoski, Mika, 2007. "International asset pricing models and currency risk: Evidence from Finland 1970-2004," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2571-2590, September.
  2. Wang, Yuenan & Iorio, Amalia Di, 2007. "Are the China-related stock markets segmented with both world and regional stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 277-290, July.
  3. Ana Cristina Silva & Gonzalo Chavez, 2004. "Market segmentation and the relative cost of trading american depository receipts," Working Papers Economia wp04-06, Instituto de Empresa, Area of Economic Environment.

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