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What Drives Time Variation In Emerging Market Segmentation?


  • Delroy M. Hunter


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. 2005 The Southern Finance Association and the Southwestern Finance Association.

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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.
  • Handle: RePEc:bla:jfnres:v:28:y:2005:i:2:p:261-280

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    References listed on IDEAS

    1. Goldreich, David, 2003. "Underpricing in Discriminatory and Uniform-Price Treasury Auctions," CEPR Discussion Papers 4105, C.E.P.R. Discussion Papers.
    2. Jegadeesh, Narasimhan, 1993. " Treasury Auction Bids and the Salomon Squeeze," Journal of Finance, American Finance Association, vol. 48(4), pages 1403-1419, September.
    3. Cammack, Elizabeth B, 1991. "Evidence on Bidding Strategies and the Information in Treasury Bill Auctions," Journal of Political Economy, University of Chicago Press, vol. 99(1), pages 100-130, February.
    4. Nyborg, Kjell G. & Sundaresan, Suresh, 1996. "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions," Journal of Financial Economics, Elsevier, vol. 42(1), pages 63-104, September.
    5. Spindt, Paul A. & Stolz, Richard W., 1992. "Are US treasury bills underpriced in the primary market?," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 891-908, September.
    6. Michael J. Fleming & Kenneth D. Garbade, 2002. "When the back office moved to the front burner: settlement fails in the treasury market after 9/11," Economic Policy Review, Federal Reserve Bank of New York, issue Nov, pages 35-57.
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    Cited by:

    1. Quinn, Dennis & Voth, Hans-Joachim, 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 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.
    4. 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.
    5. 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.
    6. Poshakwale, Sunil S. & Thapa, Chandra, 2011. "Investor protection and international equity portfolio investments," Global Finance Journal, Elsevier, vol. 22(2), pages 116-129.

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