This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...

Within a nonlinear framework, this article studies the market integration hypothesis between the French and American stock markets, on a short- and long-term basis. We use two nonlinear Error Correction Models (ECM): the Exponential Switching Transition ECM (ESTECM) and the nonlinear...