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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.

Suggested Citation

  • Vaihekoski, Mika & Nummelin, Kim, 2001. "Sources of Capital Market Segmentation: Empirical Evidence from Finland," The Financial Review, Eastern Finance Association, vol. 36(2), pages 139-159, May.
  • Handle: RePEc:bla:finrev:v:36:y:2001:i:2:p:139-59
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    Cited by:

    1. 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.
    2. 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.
    3. 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.

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