Time Varying World Market Integration：（随时间变化的世界市场整合）.pdfVIP

Time-Varying World Market Integration Geert Bekaert Stanford University, Stanford, CA 94305 National Bureau of Economic Research, Cambridge, MA 02138 Campbell R. Harvey Duke University, Durham, NC 27708 USA National Bureau of Economic Research, Cambridge, MA 02138 ABSTRACT We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit time-varying integration. Some markets appear more integrated than one might expect based on prior knowledge of investment restrictions. Other markets appear segmented even though foreigners have relatively free access to their capital markets. While there is a perception that world capital markets have become more integrated, our country-specific investigation suggests that this is not always the case. ∗We have benefitted from the comments of Warren Bailey, Bernard Dumas, Wayne Ferson, Steve Grenadier, Burton Hollifield, Robert Hodrick and from useful discussions with Bruno Solnik and Ren´e Stulz and seminar participants at the Ohio State University, the Board of Governors of the Federal Reserve Bank, the University of North Carolina at Chapel Hill, the Western Finance Association in Santa Fe and the European Finance Association in Brussels. We are especially indebted to our RAs, Steve Gray and Michael Urias, for their comments and for the long hours they devoted to the nonlinear estimation. Both the Editor,