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Frontiers in Finance and Economics is a UGC APPROVED International Journal of Research

Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects

Mohamed El Hedi Arouri
In this paper, I test a partially segmented ICAPM for two developed markets, two emerging markets and world market, using an asymmetric extension of the multivariate GARCH process of De Santis and Gerard (1997,1998). I find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence obtained from the whole period and sub-periods analysis supports the financial integration hypothesis and suggests that domestic risk is not a priced factor.
Keywords: International Asset Pricing, Financial Integration, Emerging Markets, Multivariate GARCH.
JEL Classification : F36; C32; G15
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Frontiers in Finance and Economics

FRONTIERS IN FINANCE AND ECONOMICS with ISSN no. 1814-2044 Multi-Disciplinary Journal of Economic, Finance and Business and Management Sciences. Frontiers of Finance and Economics, a bi-Annual UGC Approved Journal. Send papers for publication to editor@ffejournal.org

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