International Asset Pricing and World Market Integration : Evidence from a Partially Integrated ICAPM with Asymmetric Effects.

This paper tests a partially Segmented ICAPM using an asymmetric multivariate GARCH specification for two developed markets, two emerging markets and World market. We find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence supports the financial integration hypothesis and suggests that domestic risk is not a priced factor.

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Year of publication:	2004-10-05
Authors:	Hedi, Arouri Mohamed El
Institutions:	EconWPA
Subject:	Financial Integration \| Segmentation \| ICAPM \| Multivariate GARCH

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Extent:	application/pdf
Series:	International Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 10 10 pages
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119439