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International Asset Pricing and World Market Integration : Evidence from a Partially Integrated ICAPM with Asymmetric Effects

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  • Arouri Mohamed El Hedi

    (MODEM)

Abstract

This paper tests a partially Segmented ICAPM using an asymmetric multivariate GARCH specification for two developed markets, two emerging markets and World market. We find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence supports the financial integration hypothesis and suggests that domestic risk is not a priced factor.

Suggested Citation

  • Arouri Mohamed El Hedi, 2004. "International Asset Pricing and World Market Integration : Evidence from a Partially Integrated ICAPM with Asymmetric Effects," International Finance 0410001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpif:0410001
    Note: Type of Document - pdf; pages: 10
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0410/0410001.pdf
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    References listed on IDEAS

    as
    1. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Financial Integration; Segmentation; ICAPM; Multivariate GARCH;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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