A Test for Increased Capital Market Integration

Alan Alford and Folks, William R,

The Financial Review, 1996, vol. 31, issue 1, 1-23

Abstract: This study examines the pricing of assets under differential ownership restrictions. A model is developed which yields a coefficient of integration that is dimension free and is directly related to the strength of all barriers to international investment. These characteristics enable an intertemporal comparison of the level of capital market integration. The model is then used to test the hypothesis of increased capital market integration over time. Using data from Morgan Stanley Capital International and analyzing them with the nonparametric Page test, support is found for this hypothesis. The results are robust to the currency numeraire used. Copyright 1996 by MIT Press.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (4)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:31:y:1996:i:1:p:1-23

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0732-8516

Access Statistics for this article

The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan

More articles in The Financial Review from Eastern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().