Structural Breaks in the Mexico's Integration into the World Stock Market
General Finance
2009-05-26 v1
Abstract
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the 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
Cite
@article{arxiv.0905.3873,
title = {Structural Breaks in the Mexico's Integration into the World Stock Market},
author = {Mohamed El Hedi Arouri and Jamel Jouini},
journal= {arXiv preprint arXiv:0905.3873},
year = {2009}
}