Structural Breaks in the Mexico's Integration into the World Stock Market
Mohamed El Hedi Arouri (LEO), Jamel Jouini (GATE)
TL;DR
This paper examines how Mexico's stock market has integrated with the global market over time, identifying structural breaks and relating them to key economic events using a time-varying CAPM model.
Contribution
It introduces a novel application of a time-varying CAPM with segmentation effects to analyze Mexico's market integration and detects structural breaks linked to economic events.
Findings
Identification of multiple structural breaks in Mexico's market integration
Correlation of integration shifts with major economic events
Quantitative assessment of the evolution of market integration over time
Abstract
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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Taxonomy
TopicsMarket Dynamics and Volatility · Monetary Policy and Economic Impact · Global Financial Crisis and Policies