Analysis of structural breaks in the stock market integration of mexico into world
Mohamed Arouri () and
Jamel Jouini ()
Economics Bulletin, 2009, vol. 29, issue 2, 1380-1392
This paper studies the Mexican stock market integration process. First, we estimate the time-varying Mexican degree of market integration using an international CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally, we relate the obtained results to important facts and economic events.
Keywords: International Asset Pricing; Segmentation; Emerging Markets; Structural Breaks. (search for similar items in EconPapers)
JEL-codes: G1 F3 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00159
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