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Analysis of structural breaks in the stock market integration of mexico into world

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  • Arouri Mohamed el hédi

    ()
    (LEO - Université d''Orléans & EDHEC)

  • Jamel Jouini

    ()
    (GREQAM, and FSEGN, Tunisie)

Abstract

This paper studies the Mexican stock market integration process. First, we estimate the time-varying Mexican degree of market integration using an international CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally, we relate the obtained results to important facts and economic events.

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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 29 (2009)
Issue (Month): 2 ()
Pages: 1380-1392

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Handle: RePEc:ebl:ecbull:eb-09-00159

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Keywords: International Asset Pricing; Segmentation; Emerging Markets; Structural Breaks.;

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References

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  3. Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998. "Dating the Integration of World Equity Markets," NBER Working Papers 6724, National Bureau of Economic Research, Inc.
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  7. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  8. Bruner, Robert F. & Li, Wei & Kritzman, Mark & Myrgren, Simon & Page, Sébastien, 2008. "Market integration in developed and emerging markets: Evidence from the CAPM," Emerging Markets Review, Elsevier, Elsevier, vol. 9(2), pages 89-103, June.
  9. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  11. De Santis, Giorgio & Gerard, Bruno, 1997. " International Asset Pricing and Portfolio Diversification with Time-Varying Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 52(5), pages 1881-1912, December.
  12. Carrieri, Francesca & Errunza, Vihang & Hogan, Ked, 2007. "Characterizing World Market Integration through Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 42(04), pages 915-940, December.
  13. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9807, Universite de Montreal, Departement de sciences economiques.
  14. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, Elsevier, vol. 55(5-6), pages 585-607.
  15. Panchenko, Valentyn & Wu, Eliza, 2009. "Time-varying market integration and stock and bond return concordance in emerging markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(6), pages 1014-1021, June.
  16. Jouini, Jamel & Boutahar, Mohamed, 2005. "Evidence on structural changes in U.S. time series," Economic Modelling, Elsevier, Elsevier, vol. 22(3), pages 391-422, May.
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Cited by:
  1. Arouri Mohamed El Hédi & Jawadi Fredj, 2010. "On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM," Economics Bulletin, AccessEcon, vol. 30(2), pages 1032-1043.

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