What Segments Equity Markets?

• 成果类型: Article
• 署名作者: Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian T.; Siegel, Stephan
• 署名单位: National Bureau of Economic Research; Duke University; Columbia University; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of Washington; University of Washington Seattle
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr082
• 发表日期: 2011
• 页码: 3841
• 关键词: investor protection; stock markets; GROWTH; barriers; TRADE; WORLD; LIBERALIZATION; determinants; allocation; liquidity

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.