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Segmentation across International Equity, Bond, and Foreign Exchange Markets

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  • Cathy Ning

    ()
    (Department of Economics, Ryerson University, Toronto, Canada)

  • Stephen Sapp

    ()
    (Ivey School of Business, University of Western Ontario, London, Ontario, Canada)

Abstract

In this paper, we examine the integration of international financial markets. The integration of financial markets across countries and across asset classes is assumed to hold in most empirical studies, but has only been tested for certain countries and certain asset classes. We test for the integration of international equity, bond and foreign exchange markets. Our results indicate that the three classes of assets are segmented. Investigating potential explanations for this segmentation, we find that there are differing degrees of segmentation across these markets and that this is related to the asset returns from each class being explained by different sets of economic risk factors. In pair-wise tests we find that the bond-equity and bond-foreign exchange markets appear to be more segmented than the equity-foreign exchange market.

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Bibliographic Info

Paper provided by Ryerson University, Department of Economics in its series Working Papers with number 010.

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Length: 34 pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:rye:wpaper:wp010

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Keywords: Market integration; GMM; Stochastic discount factor models; Hansen and Jagannathan distance;

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  1. Ian King & Arthur Sweetman, 2002. "Procyclical Skill Retooling and Equilibrium Search," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 704-717, July.
  2. Devereux, Paul J, 2000. "Task Assignment over the Business Cycle," Journal of Labor Economics, University of Chicago Press, vol. 18(1), pages 98-124, January.
  3. Lorraine Dearden & Howard Reed & John Van Reenen, 2005. "The impact of training on productivity and wages: evidence from British panel data," IFS Working Papers W05/16, Institute for Fiscal Studies.
  4. David N. DeJong & Beth F. Ingram, 2001. "The Cyclical Behavior of Skill Acquisition," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 536-561, July.
  5. Harris Dellas & Plutarchos Sakellaris, 2003. "On the cyclicality of schooling: theory and evidence," Oxford Economic Papers, Oxford University Press, vol. 55(1), pages 148-172, January.
  6. Lisa M. Lynch & Sandra E. Black, 1998. "Beyond the incidence of employer-provided training," Industrial and Labor Relations Review, ILR Review, Cornell University, ILR School, vol. 52(1), pages 64-81, October.
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