摘要翻译:
本文考察了墨西哥股票市场融入世界市场的演变过程。首先,我们使用具有分割效应的CAPM的国际条件版本来估计墨西哥市场一体化的时变程度。其次,我们研究了这个系列中的结构突变。最后,我们将所得结果与重要事实和经济事件联系起来
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英文标题:
《Structural Breaks in the Mexico's Integration into the World Stock
Market》
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作者:
Mohamed El Hedi Arouri (LEO), Jamel Jouini (GATE)
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要:
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
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PDF链接:
https://arxiv.org/pdf/0905.3873