TY - JOUR AU - Bekaert,Geert AU - Harvey,Campbell R. AU - Lumsdaine,Robin L. TI - Dating the Integration of World Equity Markets JF - National Bureau of Economic Research Working Paper Series VL - No. 6724 PY - 1998 Y2 - September 1998 UR - http://www.nber.org/papers/w6724 L1 - http://www.nber.org/papers/w6724.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 Robin L. Lumsdaine Kogod School of Business American University 4400 Massachusetts Avenue NW Washington, DC 20016 Tel: 202/885-1964 E-Mail: robin.lumsdaine@american.edu M2 - featured in NBER digest on 1999-01-01 AB - Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which appear comprehensive may have little impact on the functioning of the capital market if they fail to lead to foreign portfolio inflows. In contrast to the usual practice of documenting the timing of regulatory changes, we specify a reduced-form model for a number of financial time-series (for example, equity returns and dividend yields) and search for a common break in the process generating the data. In addition, we estimate a confidence interval for the break. Information on a variety of financial and macroeconomic indicators is employed to interpret the results and to identify the likely date the equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very accurately estimated but do not always correspond closely to dates of official capital market reforms. After the break, stock markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world market return, dividend yields are lower and credit ratings improve. ER -