publication . Preprint . 2009

Segmentation across International Equity, Bond, and Foreign Exchange Markets

Cathy Ning; Stephen Sapp;
Open Access
  • Published: 01 Nov 2009
Abstract
In this paper, we examine the integration of international financial markets. The integration of financial markets across countries and across asset classes is assumed to hold in most empirical studies, but has only been tested for certain countries and certain asset classes. We test for the integration of international equity, bond and foreign exchange markets. Our results indicate that the three classes of assets are segmented. Investigating potential explanations for this segmentation, we find that there are differing degrees of segmentation across these markets and that this is related to the asset returns from each class being explained by different sets of...
Subjects
free text keywords: Market integration; GMM; Stochastic discount factor models; Hansen and Jagannathan distance, jel:G15, jel:G12

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