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What Segments Equity Markets?

Geert Bekaert1; Campbell R. Harvey1; Christian Lundblad2; Stephan Siegel3

1 National Bureau of Economic Research · 2 University of North Carolina · 3 University of Washington

Review of Financial Studies 2011

We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many countries, the level of segmentation remains significant in emerging markets. We characterize the factors that account for variation in market segmentation both through time as well as across countries. Both a country's regulation with respect to foreign capital flows and certain nonregulatory factors are important. In particular, 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.

DOI
10.1093/rfs/hhr082
Volume
24 (12)
Pages
3841-3890
Language
en
Export
BibTeX
Sources
crossref openalex