Can Cross-Border Funding Frictions Explain Financial Integration Reversals?
研究发现，对外国头寸使用杠杆的限制构成国际投资障碍。基于带杠杆约束的国际CAPM，利用股票价格衡量跨境融资障碍的规模和隐性成本，该指标有助于解释全球市场一体化的动态及其逆转。
Abstract We show that constraints on using leverage for foreign positions can act as an international investment barrier. Guided by an international CAPM with leverage constraints, we use observed stock prices to measure the variation in the magnitude and the implicit cost of such cross-border funding barriers. Our measure helps explain the dynamics of global market integration and, in particular, its reversals documented in the literature, but not explained by other international investment barriers. We confirm our results using alternative financial integration measures, international capital flows, and institutional portfolio holdings.