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Structural Breaks in the Mexico's Integration into the World Stock Market

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  • Mohamed El Hedi Arouri

    (LEO)

  • Jamel Jouini

    (GATE)

Abstract

This 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

Suggested Citation

  • Mohamed El Hedi Arouri & Jamel Jouini, 2009. "Structural Breaks in the Mexico's Integration into the World Stock Market," Papers 0905.3873, arXiv.org.
    • Handle: RePEc:arx:papers:0905.3873
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    File URL: http://arxiv.org/pdf/0905.3873
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    2. Arouri Mohamed El Hédi & Jawadi Fredj, 2010. "On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM," Economics Bulletin, AccessEcon, vol. 30(2), pages 1032-1043.

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