Market segmentation and stock prices: Evidence from an emerging market

Journal of Finance

Volumn 52, Issue 3, 1997, Pages 1059-1085

  Domowitz, Ian ^a   Glen, Jack ^a   Madhavan, Ananth ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001453918     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1997.tb02725.x     Document Type: Article

References (27)

1. Bailey, Warren, 1994, Risk and return on China's new stock markets: Some preliminary evidence, Pacific-Basin Finance Journal 2, 243-260.
2. Bailey, Warren, and Y. Peter Chung, 1995, Exchange rate fluctuations, political risk, and stock returns: Some evidence from an emerging market, Journal of Financial and Quantitative Analysis 30, 541-562.
3. Bailey, Warren, and Julapa Jagtiani, 1994, Foreign ownership restrictions and stock prices in the Thai capital market, Journal of Financial Economics 36, 57-87.
4. Berdacke, Thomas, 1995, Emerging markets: Problems of trust in Bangkok-the emerging investor, Financial Times, October 30, page 27.
5. Bekaert, Geert, 1995, Market integration and investment barriers in emerging equity markets, World Bank Economic Review 9, 75-107.
6. Bekaert, Geert, and Campbell R. Harvey, 1995, Time varying world market integration, Journal of Finance 50, 403-444.
7. Bekaert, Geert, and Campbell R. Harvey, 1996, Emerging market equity volatility, Journal of Financial Economics, Forthcoming.
8. Cooper, Ian, and Evi Kaplanis, 1994, Home bias in equity portfolios, inflation hedging, and international capital market equilibrium, Review of Financial Studies 7, 45-60.
9. DeSantis, Giorgio, and Selahattin Imrohoroglu, 1994, Stock returns and volatility in emerging markets, Working paper, University of Southern California.
10. Domowitz, Ian, Jack Glen, and Ananth Madhavan, 1996, International crosslisting, foreign ownership restrictions, and order flow migration: Evidence from Mexico, Working paper, University of Southern California.
11. Eisenhart, Charles, 1947, The assumptions underlying the analysis of variance, Biometrics 3, 1-21.
12. Errunza, Vihang R., and Etienne Losq, 1989, Capital flow controls international asset pricing, and investors' welfare: A multi-country framework, Journal of Finance 44, 1025-1038.
13. Eun, Cheol S., and S. Janakiramanan, 1986, A model of international asset pricing with a constraint on the foreign equity ownership, Journal of Finance 41, 897-914.
14. Gultekin, N. Bulent, Mustafa N. Gultekin, and Alessandro Penati, 1989, Capital controls and international capital market segmentation, Journal of Finance 44, 849-870.
15. Harvey, Campbell R., 1995, Predictable risk and returns in emerging markets, Review of Financial Studies 8, 773-816.
16. Hausman, Jerry A. and William E. Taylor, 1981, Panel data and unobservable individual effects, Econometrica 49, 1377-1398.
17. Hietala, Pekka, 1989, Asset pricing in partially segmented markets: Evidence from the Finnish market, Journal of Finance 44, 697-715.
18. Hsiao, Cheng, 1986, Analysis of Panel-data (Cambridge University Press, New-York, NY).
19. Jorion, Philippe and Eduardo Schwartz, 1986, Integration vs. segmentation in the Canadian stock market, Journal of Finance 41, 603-614.
20. Lau, S. T., and Thomas McInish, 1996, Foreign share ownership restrictions, Working paper, University of Memphis.
21. Moffett, Michael, 1990, Mexico opens much of market to foreign capital through a trust run by state development bank, Wall Street Journal, March 26, page C12.
22. Nerlove, Marc, 1971, Further evidence on the estimation of dynamic economic relations from a time-series of cross-sections, Econometrica 39, 359-387.
23. Nickell, Stephen, 1981, Biases in dynamic models with fixed effects, Econometrica 49, 1417-1426.
24. Searle, S. R., 1971, Linear Models (John Wiley & Sons, New York).
25. Stulz, Rene, 1981, On the effect of barriers to international investment, Journal of Finance 36, 383-403.
26. Stulz, Rene, and Walter Wasserfallen, 1995, Foreign equity investment restrictions, capital flight, and shareholder wealth maximization: Theory and evidence, Review of Financial Studies 8, 1019-1057.
27. Wheatley, Simon, 1988, Some tests of barriers to international investment, Journal of Financial Economics 21, 177-212.