TESTS OF INTEGRATION, MILD SEGMENTATION AND SEGMENTATION HYPOTHESES

To investigate the structure of world capital markets, this paper tests the competing hypotheses of integration, mild segmentation and segmentation for a group of emerging markets. The test is based on the theoretical model of Errunza and Losq and uses the MLE procedure. The results provide strong evidence in favor of a nonpolar structure and the widely accepted notion that the world market is neither fully integrated nor completely segmented.