Time‐Varying World Market Integration
提出一种基于条件体制转换模型的市场一体化度量方法，用于描述样本中部分时期与世界资本市场分割、后期实现一体化的国家的预期收益。研究发现多个新兴市场呈现时变一体化特征，且市场一体化程度与投资限制的预期并不完全一致。
ABSTRACT We propose a measure of capital market integration arising from a conditional regime‐switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit time‐varying integration. Some markets appear more integrated than one might expect based on prior knowledge of investment restrictions. Other markets appear segmented even though foreigners have relatively free access to their capital markets. While there is a perception that world capital markets have become more integrated, our country‐specific investigation suggests that this is not always the case.