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 …

nor Japanese investors treat corruption in East Asia any differently from that in other parts of the world. There are …

lower than under the MFN status quo. Estimates from the gravity model suggest the world system may already be in the super …

Continental trade blocs are emerging in many parts of the world almost in tandem. If trade blocs are required to … reduction of trade barriers against non-member countries. That may not be politically feasible. On the other hand, in a world of …

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

abandon the expected-utility hypothesis in favor of preferences that exhibit first-order risk aversion. We incorporate these … increasing the degree of first-order risk aversion substantially increases excess return predictability, the model remains … patterns of excess return predictability are unlikely to be explained purely by time-varying risk premiums generated by highly …

in tandem within a given country around the world, but start to diverge after 2000. Understanding the source of …