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

Mohamed El Hedi Arouri (1, 2) , Jamel Jouini (3)

1 LEO - Laboratoire d'économie d'Orleans [2008-2011]
2 EconomiX - EconomiX
3 GATE - Groupe d'analyse et de théorie économique

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

Domaines: Finance [q-fin.GN]

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