A Measure of Stock Market Integration for Developed and Emerging Markets
构建了一个可跨国一致应用的偏离资本市场一体化程度的度量指标，用于分析市场分割的影响。对24个国家股票收益的测算显示，新兴市场分割程度远大于发达市场，且随时间下降。
A wide array of official capital controls across countries makes it difficult to perform cross-sectional analysis of the effects of market segmentation. This article constructs a measure of deviations from capital market integration that can be consistently applied across countries. It measures the deviations of asset returns from an equilibrium model of returns constructed assuming market integration. Applying the measure to stock returns from twenty-four national markets indicates that market segmentation tends to be much larger for emerging markets than for developed markets, and that the measure tends to decrease over time. Along several dimensions, the proposed measure yields results that are consistent with reasonable priors about the relations between effective integration and explicit capital controls, capital market development, and economic growth.