This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the International Capital Asset Pricing Model (ICAPM) accounting for the deviations from Purchasing Power Parity (PPP) as well as temporal...

In this paper we test for the existence of equity market contagion originating from the United States to OECD markets over the period from 01/01/1990 to 01/11/2010 characterized by several episodes of financial crises. Our empirical analysis relies on the use of an ICAPM model which has three...

This paper tests the time-varying degree of South Asian market integration using a conditional version of the International Capital Asset Pricing Model ICAPM, and applying a GDC-GARCH. The use of the GDC-GARCH technique allows us to, first, describe the timevarying stochastic conditional...