caa a22 4500 397559224 CHVBK 20180308164812.0 cr unu---uuuuu 161202e199605 xx s 000 0 eng 10.1093/wber/10.2.267 doi (NATIONALLICENCE)oxford-10.1093/wber/10.2.267 Korajczyk Robert A. A Measure of Stock Market Integration for Developed and Emerging Markets [Elektronische Daten] [Robert A. Korajczyk] A wide array of official capital controls across countries makes it difficult to perform cross-sectional analysis of the effects of market segmentation. This article constructs a measure of deviations from capital market integration that can be consistently applied across countries. It measures the deviations of asset returns from an equilibrium model of returns constructed assuming market integration. Applying the measure to stock returns from twenty-four national markets indicates that market segmentation tends to be much larger for emerging markets than for developed markets, and that the measure tends to decrease over time. Along several dimensions, the proposed measure yields results that are consistent with reasonable priors about the relations between effective integration and explicit capital controls, capital market development, and economic growth. © 1996 The International Bank for Reconstruction and Development / THE WORLD BANK A SYMPOSIUM ISSUE ON STOCK MARKETS AND ECONOMIC DEVELOPMENT nationallicence The World Bank Economic Review Oxford University Press 10/2(1996-05), 267-289 0258-6770 10:2<267 1996 10 wber https://doi.org/10.1093/wber/10.2.267 text/html Onlinezugriff via DOI 1 other jats NATIONALLICENCE 856 40 https://doi.org/10.1093/wber/10.2.267 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Korajczyk Robert A. NATIONALLICENCE 773 0- The World Bank Economic Review Oxford University Press 10/2(1996-05), 267-289 0258-6770 10:2<267 1996 10 wber Metadata rights reserved CC BY-NC-4.0 http://creativecommons.org/licenses/by-nc/4.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-oxford