Capital Market Integration and Industrial Structure: The Case of Australia, Canada and the United States

Usha R. Mittoo () and Robert Faff
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Usha R. Mittoo: University of Manitoba, Postal: Asper School of Business, University of Manitoba Accounting and Finance Department, 660 Drake Ctr, Winnipeg, MB R3T2N2 Canada

Journal of Economic Integration, 2003, vol. 18, 433-465

Abstract:

Using a matched sample design where companies are matched by size and industry from Australian, Canadian and US capital markets, we investigate whether capital market integration varies across industries and by geographical proximity. The tests are conducted in the multi-factor pricing framework over the 1983-1997 period. Our evidence supports two main findings. First, the pricing of Australian stocks is different from that of their Canadian and U.S. counterparts. The Australian stocks are priced in a partially segmented global market whereas the Canadian stocks are priced in a regionally integrated North American stock market. Second, global industry stocks such as oil and mining stocks are priced in a relatively integrated capital market while regional industry stocks such as consumer and capital goods stocks are priced in segmented markets. This evidence suggests that industry and geographical distance may proxy factors that may be relevant in international asset pricing.

Keywords: Integration; Segmentation; Industrial structure; Multi-Country study (search for similar items in EconPapers)
JEL-codes: F30 G12 G15 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0243

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