"Dating the Integration of World Equity Markets"
©
Journal of Financial Economics,
2002
Volume: 65
|
Pages: 203-47
Publication type: Journal article
Research Archive Topic: Business Economics and Public Policy, Capital Markets and Investments, Corporate Finance
Abstract
Regulatory changes that appear comprehensive will have little impact on the functioning of a developing market if they fail to lead to foreign portfolio inflows. We specify a reduced-form model for a number of financial time series and search for a common, endogenous break in the data generating process. We also estimate a confidence interval for the break. Our endogenous break dates are accurately estimated but do not always correspond closely to dates of official capital market reforms. Indeed, the endogenous dates are usually later than official dates, highlighting the important distinction between market liberalization and market integration.
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