What Segments Equity Markets?

被引:248
作者
Bekaert, Geert [2 ]
Harvey, Campbell R. [1 ]
Lundblad, Christian T. [3 ]
Siegel, Stephan [4 ]
机构
[1] Duke Univ, Fuqua Sch Business, Natl Bur Econ Res, Durham, NC 27708 USA
[2] Columbia Univ, Natl Bur Econ Res, New York, NY 10027 USA
[3] Univ N Carolina, Chapel Hill, NC 27515 USA
[4] Univ Washington, Seattle, WA 98195 USA
关键词
INVESTOR PROTECTION; STOCK MARKETS; GROWTH; BARRIERS; TRADE; WORLD; LIBERALIZATION; DETERMINANTS; ALLOCATION; LIQUIDITY;
D O I
10.1093/rfs/hhr082
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many countries, the level of segmentation remains significant in emerging markets. We characterize the factors that account for variation in market segmentation both through time as well as across countries. Both a country's regulation with respect to foreign capital flows and certain nonregulatory factors are important. In particular, we identify a country's political risk profile and its stock market development as two additional local segmentation factors as well as the U.S. corporate credit spread as a global segmentation factor.
引用
收藏
页码:3841 / 3890
页数:50
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