What Drives Time Variation In Emerging Market Segmentation?
Author InfoDelroy M. Hunter Abstract I use American Depositary Receipts and underlying stocks to test the level of integration of the stock markets of Argentina, Chile, and Mexico into the world capital market in the post-liberalization period. I find that these markets experience time-varying integration and are, on average, still not highly internationally integrated. Furthermore, there is no distinct trend toward higher levels of integration. In fact, the markets of Argentina and Mexico have become increasingly segmented over the post-liberalization period. I find that financial and economic openness, stock market liquidity and volatility, and the state of the currency market significantly affect the level of segmentation. 2005 The Southern Finance Association and the Southwestern Finance Association. Download InfoTo download: If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-
