What Segments Equity Markets?

Geert Bekaert, Campbell Harvey (), Christian Lundblad and Stephan Siegel ()

The Review of Financial Studies, 2011, vol. 24, issue 12, 3841-3890

Abstract: We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many countries, the level of segmentation remains significant in emerging markets. We characterize the factors that account for variation in market segmentation both through time as well as across countries. Both a country's regulation with respect to foreign capital flows and certain nonregulatory factors are important. In particular, we identify a country's political risk profile and its stock market development as two additional local segmentation factors as well as the U.S. corporate credit spread as a global segmentation factor. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.

Date: 2011
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Citations: View citations in EconPapers (223)

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Related works:
Working Paper: What Segments Equity Markets? (2010)
Working Paper: What Segments Equity Markets? (2010)
Working Paper: What Segments Equity Markets? (2009)
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