Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089750 | Journal of Banking & Finance | 2012 | 21 Pages |
Abstract
⺠We propose a theoretical testable ICAPM for partially segmented markets. ⺠The degree of stock market integration is found to vary through time. ⺠Most of the sample emerging markets have become more integrated recently. ⺠The relative size of the local risk premium for emerging markets has decreased. ⺠The total risk premium for developed countries is largely driven by global factors.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mohamed El Hedi Arouri, Duc Khuong Nguyen, Kuntara Pukthuanthong,