We utilize the Feldstein–Horioka puzzle to investigate the impact of regional integration agreements (AFTA, EU, EFTA, CARTAGENA, MERCOSUR and NAFTA) on the international capital mobility. In doing so, we employed a novel empirical technique i.e. the general to specific (GETS) method of Hendry...

It is well known that high levels of regional integration enable portfolio risk diversification and capital mobility. While there have been a number of empirical attempts to verify the presence of capital mobility using the Feldstein–Horioka (FH) approach, none of them to the best of our...

This paper surveys the performance of international capital markets and the literature on measuring international capital mobility. Three main functions of a globally integrated and efficient world capital market provide focal points for the analysis. First, asset-price arbitrage ensures that...

The Pedroni method is used to estimate the Feldstein-Horioka equation from 1960-2007 with a panel of 13 OECD countries. It is found that the Feldstein-Horioka puzzle exists in a weaker form with a much reduced saving retention coefficient. The Bretton Woods agreement in particular has weakened...

In this paper we look for evidence of structural changes in the Chilean stock market between the mid eighties and the nineties. We find two important structural changes in the Chilean stock market. The first, at the end of 1990, indicates a significant re

The globalization of international financial markets has renewed interest in the measurement of capital mobility. Consumption-based tests such as the Euler equation test are commonly used. These tests, however, are derived under restrictive assumptions on consumer behavior. In this paper, we ask...

This paper reviews the first evidence on the impact of European Monetary Union on European capital markets, one year after the launch of the single currency. Our assessment of this evidence is very favourable. On almost all counts EMU has either changed the European financial landscape already...

The paper analyzes the e

Despite large potential gains, international equity investment is less diversified across countries than predicted by the international version of the traditional capital asset pricing model (ICAPM). This paper provides empirical evidence on the impact of capital market frictions on...