International Market Integration: A Survey

Abstract Market integration is a canonical topic in international finance. The question of whether and to what extent markets are integrated with the global economy has motivated one of the largest literatures in this field. Given this vast body of research, this survey shall only focus on the theoretical and empirical studies on one aspect of market integration – equity market integration. It reviews the evolution of various approaches employed in studying market integration. This survey discusses the recent empirical findings on cross‐sectional and time‐series dynamics of integration across developed and emerging markets. It also describes the empirical estimation of three current measures of market integration and discusses their usefulness as well as limitations. Finally, the survey provides a few future directions for this line of research.