کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963537 930363 2010 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
European capital market integration: An empirical study based on a European asset pricing model
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
European capital market integration: An empirical study based on a European asset pricing model
چکیده انگلیسی
This paper investigates the integration between the capital markets of 15 European countries, all of which are members of the European Union. Integration is tested under the joint hypothesis of a European multifactor asset pricing model. A European portfolio is constructed from which common factors are extracted using maximum likelihood factor analysis. Empirical tests are undertaken to determine whether these European factors are not only priced, but also equally priced across the European capital markets. The results show that a number of common factors are extracted from the European portfolio and a degree of capital market integration is shown to exist across the European capital markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 4, October 2010, Pages 363-375
نویسندگان
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