This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...

We make use of a bootstrap panel analysis of causality between energy use and economic growth for a sample of sixteen African countries over the period 1988-2010. Our results show that growth and energy use are strongly linked in Africa. However, African countries are heterogeneous and there is...

[eng] Financial Integration and International Portfolio Diversification.. This article examines the impact of financial integration on the gains expected from international diversification of portfolios. For this purpose, we develop an asymmetric extension of the GARCH multivariate model and...

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...

In this paper we make use of several multivariate GARCH models (CCC-, DCC-, BEKK-, diagonal BEKK-, and VAR-GARCH) to investigate both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011. We also analyze...

This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented

This article investigates the existence of short- and long-term relationships between oil prices and GCC stock markets. Since most of the GCC countries are among the major players in the world energy markets, their stock markets may be subjected to considerable influences of oil price shocks....