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Arouri Mohamed el hédi and Jamel Jouini
''Analysis of structural breaks in the stock market integration of mexico into world''
( 2009, Vol. 29 No.2 )
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.
Keywords: International Asset Pricing, Segmentation, Emerging Markets, Structural Breaks.
F3 - International Finance: General
Manuscript Received : Mar 19 2009 Manuscript Accepted : Jun 10 2009

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