Capital markets and foreign ownership restrictions: an empirical analysis of emerging stock markets

摘要

This paper uses a general asset-pricing model to study the integration of long-term capital markets in emerging markets and global markets. It then investigates the effects of investment restrictions on the integration. The financial reforms of 1990provided great stimulus to emerging markets integration. There is some evidence of common movement in expected returns across the emerging markets and global markets, which is suggestive of integration of long-term capital markets. On the other hand, there is also some evidence of an opposite movement in expected returns, which is a sign of capital market segmentation.