Structural Breaks in the Mexico's Integration into the World Stock Market - Archive ouverte HAL
Preprints, Working Papers, ... Year : 2009

Structural Breaks in the Mexico's Integration into the World Stock Market

Mohamed El Hedi Arouri
Laboratoire d'économie d'Orleans [2008-2011]
EconomiX
Jamel Jouini
  • Function : Author
  • PersonId : 862759
Groupe d'analyse et de théorie économique

Abstract

This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the 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

Domains

General Finance [q-fin.GN]
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https://hal.science/hal-00387114

Submitted on : Sunday, May 24, 2009-1:58:10 AM

Last modification on : Wednesday, September 4, 2024-5:34:06 PM

Long-term archiving on : Saturday, November 26, 2016-9:10:59 AM

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Dates and versions

hal-00387114 , version 1 (24-05-2009)

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Mohamed El Hedi Arouri, Jamel Jouini. Structural Breaks in the Mexico's Integration into the World Stock Market. 2009. ⟨hal-00387114⟩

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