Dating the integration of world equity markets

• 成果类型: Article
• 署名作者: Bekaert, G; Harvey, CR; Lumsdaine, RL
• 署名单位: Duke University; Columbia University; Deutsche Bank; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00139-3
• 发表日期: 2002
• 页码: 203-247
• 关键词: market liberalization; structural break tests; Portfolio flows; endogenous break tests; market reforms; market integration

摘要

Regulatory changes that appear comprehensive will have little impact on the functioning of a developing market if they fail to lead to foreign portfolio inflows. We specify a reduced-form model for a number of financial time series and search for a common, endogenous break in the data generating process. We also estimate a confidence interval for the break. Our endogenous break dates are accurately estimated but do not always correspond closely to dates of official capital market reforms. Indeed, the endogenous dates are usually later than official dates, highlighting the important distinction between market liberalization and market integration. circle dot 2002 Elsevier Science B.V. All rights reserved.