This study explores the fundamental driving forces of regional equity market integration. The determinant factors are categorized into three dimensions: local, regional and world instrumental variables. My sample consists of equity markets in 4 notable regional trading blocs: Latin America,...

In this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the...