Sources of Capital Market Segmentation: Empirical Evidence from Finland

Mika Vaihekoski and Kim Nummelin

The Financial Review, 2001, vol. 36, issue 2, 139-59

Abstract: Because Finland has experienced profound economic changes and financial deregulation since the mid-1980s, we use it as a laboratory to explore issues related to time-varying global equity market integration. Using a Finnish perspective, we construct two different portfolios of Finnish firms and a conditional one-factor international asset pricing model. We examine whether the segmentation varies over time and across assets. We use time-series variables for changing market integration (lagged foreign equity ownership, difference between Finnish and German short-term interest rates, and a portfolio-specific liquidity measure) and crosssectional variables (size and book-to-market ratios and industry sector) to show variation in integration. Copyright 2001 by MIT Press.

Date: 2001
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