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Université d'Orléans |  |
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Université d'Orléans | |
| HAL : hal-00387109, version 1 |
| arXiv : 0905.3875 |
| Fiche détaillée |  Récupérer au format |
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| Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects. |
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| Mohamed El Hedi Arouri 1, 2 |
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| (2006) |
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| In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Gerard (1997,1998). We find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence obtained from the whole period and sub-periods analysis supports the financial integration hypothesis and suggests that domestic risk is not a priced factor. |
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| 1 : | Laboratoire d'économie d'Orleans (LEO) |
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CNRS : UMR6221 – Université d'Orléans |
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| 2 : | EconomiX |
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CNRS : UMR7166 – Université Paris X - Paris Ouest Nanterre La Défense |
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| Domaine | : | Économie et finance quantitative/Econométrie de la finance Économie et finance quantitative/Gestion de portefeuilles Économie et finance quantitative/Finance |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00387109, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00387109 | |
| oai:hal.archives-ouvertes.fr:hal-00387109 | |
| Contributeur : Mohamed El Hedi Arouri | |
| Soumis le : Dimanche 24 Mai 2009, 01:42:09 | |
| Dernière modification le : Dimanche 24 Mai 2009, 07:18:54 | |
