Market Integration and Investment Barriers in Emerging Equity Markets
为19个新兴股票市场开发了一个基于回报的市场整合度量，并研究了该度量与回报特征及广义投资障碍之间的关系，发现全球因素对预期回报时间变化的解释力有限，且市场整合程度差异与直接投资障碍关联不大。
This article develops a return-based measure of market integration for nineteen emerging equity markets. It then examines the relation between that measure, other return characteristics, and broadly defined investment barriers. Although the analysis is exploratory, some clear conclusions emerge. First, global factors account for a small fraction of the time variation in expected returns in most markets, and global predictability has declined over time Second, the emerging markets exhibit differing degrees of market integration with the U.S. market, and the differences are not necessarily associated with direct barriers to investment. Third, the most important de facto barriers to global equity-market integration are poor credit ratings, high and variable inflation, exchange rate controls, the lack of a high-quality regulatory and accounting framework, the lack of sufficient country funds or cross-listed securities, and the limited size of some stock markets.