to providing new insights on contagion during crisis periods, we document patterns through time in world and regional …

Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very … markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world …

-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the …