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Capital market integration: evidence from the G7 countries

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  • David Morelli

Abstract

This article examines whether the capital markets of the G7 countries are integrated. Capital market integration is examined under the joint hypothesis of an international multifactor asset pricing model. International factors are extracted from a world portfolio using both maximum likelihood analysis and principal component analysis. Results show that international common factors exist, some of which are priced and equal across some countries, however, the international pricing model does not hold for all G7 countries. The price of risk is not found to be the same across all countries and the hypothesis of full capital market integration is not supported.

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  • David Morelli, 2009. "Capital market integration: evidence from the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 19(13), pages 1043-1057.
    • Handle: RePEc:taf:apfiec:v:19:y:2009:i:13:p:1043-1057
    DOI: 10.1080/09603100802167262
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    Cited by:

    1. Umar, Zaghum & Riaz, Yasir & Aharon, David Y., 2022. "Network connectedness dynamics of the yield curve of G7 countries," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 275-288.
    2. Sithole, Rumbidzai Praise & Eita, Joel Hinaunye, 2020. "A test of integration between the South African and selected African stock markets," MPRA Paper 101301, University Library of Munich, Germany.
    3. Izunna Anyikwa & Micheal Brookes & Pierre Le Roux, 2018. "African stock markets integration: an analysis of the relationship between major stock markets in Africa," Working Papers 1812, Department of Economics, Nelson Mandela University, revised Mar 2018.
    4. Deven Bathia & Don Bredin & Dirk Nitzsche, 2016. "International Sentiment Spillovers in Equity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(4), pages 332-359, October.
    5. Souhir Chlibi & Fredj Jawadi & Mohamed Sellami, 2016. "Analyzing Heterogeneous Stock Price Comovements Through Hybrid Approaches," Open Economies Review, Springer, vol. 27(3), pages 541-559, July.

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