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

Mohamed Arouri () and Jamel Jouini ()
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Jamel Jouini: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique

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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: 2009-05-24
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00387114
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