Structural Breaks in the Mexico's Integration into the World Stock Market

Mohamed Arouri and Jamel Jouini
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Jamel Jouini: GATE

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Abstract: This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the 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

Date: 2009-05
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http://arxiv.org/pdf/0905.3873 Latest version (application/pdf)

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Working Paper: Structural Breaks in the Mexico's Integration into the World Stock Market (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0905.3873

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