TY - JOUR AU - Bekaert,Geert AU - Harvey,Campbell R. AU - Lundblad,Christian AU - Siegel,Stephan TI - What Segments Equity Markets? JF - National Bureau of Economic Research Working Paper Series VL - No. 14802 PY - 2009 Y2 - March 2009 UR - http://www.nber.org/papers/w14802 L1 - http://www.nber.org/papers/w14802.pdf N1 - Author contact info: Geert Bekaert Graduate School of Business Columbia University 3022 Broadway, 411 Uris Hall New York, NY 10027 Tel: 212/854-9156 Fax: 212/662-8474 E-Mail: gb241@columbia.edu Campbell R. Harvey Duke University Fuqua School of Business Durham, NC 27708-0120 Tel: 919/660-7768 Fax: 919/660-8030 E-Mail: cam.harvey@duke.edu Christian Lundblad Department of Finance University of North Carolina at Chapel Hill Chapel Hill, NC 27599-3490 Tel: 919-962-8441 Fax: 707-371-7060 E-Mail: Christian_Lundblad@unc.edu Stephan Siegel University of Washington Michael G. Foster School of Business 430 PACCAR Hall Box 353226 Seattle, WA 98195-3226 Tel: 206.543.0784 Fax: 206.543.7472 E-Mail: ss1110@u.washington.edu AB - We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many developing countries, the level of segmentation is still significant. In contrast to previous research, we characterize the factors that account for variation in market segmentation both through time as well as across countries. While a country's regulation with respect to foreign capital flows is important in determining its level of segmentation, we find that non-regulatory factors are also related to the cross-sectional and time-series variation in the level of segmentation. We identify a country's political risk profile and its stock market development as two additional local segmentation factors as well as the U.S. corporate credit spread as a global segmentation factor. ER -