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What Segments Equity Markets?

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

No 76, NBP Working Papers from Narodowy Bank Polski, Economic Research Department

Abstract: We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many developing countries, the level of segmentation is still significant. In contrast to previous research, we characterize the factors that account for variation in market segmentation both through time as well as across countries. While a country’s regulation with respect to foreign capital flows is important in determining its level of segmentation, we find that non-regulatory factors are also related to the cross-sectional and time-series variation in the level of segmentation. 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.

New Economics Papers: this item is included in nep-fmk and nep-ifn
Date: 2010
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Working Paper: What Segments Equity Markets? (2010) Downloads
Working Paper: What Segments Equity Markets? (2009) Downloads
Journal Article: What Segments Equity Markets? Downloads
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