Structural Breaks in the Mexico's Integration into the World Stock Market
AbstractThis article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the 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 InfoPaper provided by arXiv.org in its series Papers with number 0905.3873.
Date of creation: May 2009
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Web page: http://arxiv.org/
Other versions of this item:
- Mohamed El Hedi Arouri & Jamel Jouini, 2009. "Structural Breaks in the Mexico's Integration into the World Stock Market," Working Papers hal-00387114, HAL.
- NEP-ALL-2009-09-26 (All new papers)
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