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Analysis of structural breaks in the stock market integration of mexico into world

Author

Listed:
  • Arouri Mohamed el hédi

    (LEO - Université d''Orléans & EDHEC)

  • Jamel Jouini

    (GREQAM, and FSEGN, Tunisie)

Abstract
This paper studies the Mexican stock market integration process. First, we estimate the time-varying Mexican degree of market integration using an international CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally, we relate the obtained results to important facts and economic events.

Suggested Citation

  • Arouri Mohamed el hédi & Jamel Jouini, 2009. "Analysis of structural breaks in the stock market integration of mexico into world," Economics Bulletin, AccessEcon, vol. 29(2), pages 1380-1392.
    • Handle: RePEc:ebl:ecbull:eb-09-00159
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I2-P81.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Arouri Mohamed El Hédi & Jawadi Fredj, 2010. "On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM," Economics Bulletin, AccessEcon, vol. 30(2), pages 1032-1043.

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    More about this item

    Keywords

    International Asset Pricing; Segmentation; Emerging Markets; Structural Breaks.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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