A1 Refereed original research article in a scientific journal
Sources of Capital Market Segmentation: Empirical Evidence from Finland
Authors: Mika Vaihekoski, Kim Nummelin
Publisher: Wiley
Publication year: 2001
Journal: Financial Review
Volume: 36
Issue: 2
First page : 139
Last page: 160
Number of pages: 22
eISSN: 1540-6288
DOI: https://doi.org/10.1111/j.1540-6288.2001.tb00014.x
Web address : http://dx.doi.org/10.1111/j.1540-6288.2001.tb00014.x
Abstract
Because Finland has experienced profound economic changes and financial deregulation since the mid-1980s, we use it as a laboratory to explore issues related to time-varying global equity market integration. Using a Finnish perspective, we construct two different portfolios of Finnish firms and a conditional one-factor international asset pricing model. We examine whether the segmentation varies over time and across assets. We use time-series variables for changing market integration (lagged foreign equity ownership, difference between Finnish and German short-term interest rates, and a portfolio-specific liquidity measure) and crosssectional variables (size and book-to-market ratios and industry sector) to show variation in integration.
Because Finland has experienced profound economic changes and financial deregulation since the mid-1980s, we use it as a laboratory to explore issues related to time-varying global equity market integration. Using a Finnish perspective, we construct two different portfolios of Finnish firms and a conditional one-factor international asset pricing model. We examine whether the segmentation varies over time and across assets. We use time-series variables for changing market integration (lagged foreign equity ownership, difference between Finnish and German short-term interest rates, and a portfolio-specific liquidity measure) and crosssectional variables (size and book-to-market ratios and industry sector) to show variation in integration.
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