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What Segments Equity Markets?

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

No 14802, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: F00 F15 F21 F3 F43 F55 G1 G15 P45 P48 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: 2009-03
Note: AP IFM
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Published as Rev. Financ. Stud. (2011) 24 (12): 3841-3890. doi: 10.1093/rfs/hhr082 First published online: October 7, 2011

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Related works:
Working Paper: What Segments Equity Markets? (2010) Downloads
Working Paper: What Segments Equity Markets? (2010) Downloads
Journal Article: What Segments Equity Markets? Downloads
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