Analysis of structural breaks in the stock market integration of mexico into world

This paper studies the Mexican stock market integration process. First, we estimate the time-varying Mexican degree of market integration using an international 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.

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Year of publication:	2009
Authors:	hédi, Arouri Mohamed el ; Jouini, Jamel
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 29.2009, 2, p. 1380-1392
Publisher:	AccessEcon
Subject:	International Asset Pricing \| Segmentation \| Emerging Markets \| Structural Breaks

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Extent:	application/pdf
Type of publication:	Article
Classification:	G1 - General Financial Markets ; F3 - International Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008563112