| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6724 |
| 来源ID | Working Paper 6724 |
| Dating the Integration of World Equity Markets | |
| Geert Bekaert; Campbell R. Harvey; Robin L. Lumsdaine | |
| 发表日期 | 1998-09-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which appear comprehensive may have little impact on the functioning of the capital market if they fail to lead to foreign portfolio inflows. In contrast to the usual practice of documenting the timing of regulatory changes, we specify a reduced-form model for a number of financial time-series (for example, equity returns and dividend yields) and search for a common break in the process generating the data. In addition, we estimate a confidence interval for the break. Information on a variety of financial and macroeconomic indicators is employed to interpret the results and to identify the likely date the equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very accurately estimated but do not always correspond closely to dates of official capital market reforms. After the break, stock markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world market return, dividend yields are lower and credit ratings improve. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w6724 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564233 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Campbell R. Harvey,Robin L. Lumsdaine. Dating the Integration of World Equity Markets. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6724.pdf（1950KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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