This article investigates international stock market integration in four major developed economies, namely the United States, the Economic and Monetary Union of the European Union, Japan and the United Kingdom, and two Asian emerging, countries namely China and India, over the period from June...

There is a substantial body of theoretical and empirical research on asset price comovement and determinants. The empirical analysis in this paper differs in that it incorporates a channel for cross-country comovement in asset prices as well in a set of proposed asset price determinants, across...

This short note is aimed to open discussion. Asset pricing models assume capital markets are competitive, but then my questions were: Why would a diversified investor be willing to accept a supposedly lower equilibrium risk adjusted rate of return in emerging markets (like Argentina), that the...

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....

"We find that the US consumption growth beta of an investment strategy that goes long in high interest rate currencies and short in low interest rate currencies is larger than one. These consumption beta estimates are statistically significant, contrary to what is claimed by Burnside (2007)....

This study aims at assessing the risk-return profile of stock portfolios by different levels of the foreign ownership ratio. The paper also evaluates the performance of portfolios by their size and the book-to-market ratio (BTM). In this study, we apply GMM approach with the data computed from...