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...

This paper attempts to evaluate the time-varying integration of Australian stock market in ASEAN-5 region (ASEAN + Australia, Korea, China, India and Japan) by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of...

This paper attempts to evaluate the time-varying integration of Japanese stock market from a regional perspective, by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, regional market risk price,...

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...

This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America and Asia over the period 1996-2008. This model allows for three sources of time-varying risks: common...