A Measure of Stock Market Integration for Developed and Emerging Markets
AbstractA wide array of official capital controls across countries makes it difficult to perform cross-sectional analysis of the effects of market segmentation. This article constructs a measure of deviations from capital market integration that can be consistently applied across countries. It measures the deviations of asset returns from an equilibrium model of returns constructed assuming market integration. Applying the measure to stock returns from twenty-four national markets indicates that market segmentation tends to be much larger for emerging markets than for developed markets, and that the measure tends to decrease over time. Along several dimensions, the proposed measure yields results that are consistent with reasonable priors about the relations between effective integration and explicit capital controls, capital market development, and economic growth. Copyright 1996 by Oxford University Press.
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Bibliographic InfoArticle provided by World Bank Group in its journal World Bank Economic Review.
Volume (Year): 10 (1996)
Issue (Month): 2 (May)
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Other versions of this item:
- Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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