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What Drives Time Variation In Emerging Market Segmentation?

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  • Delroy M. Hunter

Abstract

I use American Depositary Receipts and underlying stocks to test the level of integration of the stock markets of Argentina, Chile, and Mexico into the world capital market in the post‐liberalization period. I find that these markets experience time‐varying integration and are, on average, still not highly internationally integrated. Furthermore, there is no distinct trend toward higher levels of integration. In fact, the markets of Argentina and Mexico have become increasingly segmented over the post‐liberalization period. I find that financial and economic openness, stock market liquidity and volatility, and the state of the currency market significantly affect the level of segmentation.

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  • Delroy M. Hunter, 2005. "What Drives Time Variation In Emerging Market Segmentation?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(2), pages 261-280, June.
    • Handle: RePEc:bla:jfnres:v:28:y:2005:i:2:p:261-280
    DOI: 10.1111/j.1475-6803.2005.00124.x
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    References listed on IDEAS

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    1. David E. Altig & Owen F. Humpage, 1999. "Dollarization and monetary sovereignty: the case of Argentina," Economic Commentary, Federal Reserve Bank of Cleveland, issue Sep.
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    Cited by:

    1. Voth, Hans-Joachim & Quinn, Dennis, 2008. "Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001," CEPR Discussion Papers 7013, C.E.P.R. Discussion Papers.
    2. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
    3. Dennis Quinn & Hans-Joachim Voth, 2010. "Free Flows, Limited Diversification: Openness and the Fall and Rise of Stock Market Correlations, 1890–2001," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 7-39, National Bureau of Economic Research, Inc.
    4. Pasquariello, Paolo, 2008. "The anatomy of financial crises: Evidence from the emerging ADR market," Journal of International Economics, Elsevier, vol. 76(2), pages 193-207, December.
    5. Dennis P. Quinn & Hans-Joachim Voth, 2008. "A Century of Global Equity Market Correlations," American Economic Review, American Economic Association, vol. 98(2), pages 535-540, May.
    6. Poshakwale, Sunil S. & Thapa, Chandra, 2011. "Investor protection and international equity portfolio investments," Global Finance Journal, Elsevier, vol. 22(2), pages 116-129.
    7. Susana Callao & José I. Jarne & David Wróblewski, 2019. "A New Perspective on Earnings Management in Emerging European Countries: Investigation on Environmental Factors that Explain Differences in Earnings Management," Journal of Accounting, Business and Finance Research, Scientific Publishing Institute, vol. 7(2), pages 59-81.
    8. Hatemi-J, Abdulnasser & Sarmiento-Sabogal, Julio, 2013. "An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(1), pages 57-67.

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