Stock market integration: Are risk premiums of international assets equal?

This paper studies previous research on capital market integration and applies a simple international capital asset pricing model by considering the incompleteness in market integration and heteroscedasticity of the market returns. When we disregarded those two factors, we found that stock markets w...

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Veröffentlicht in:Gadjah Mada international journal of business 2014-01, Vol.16 (1), p.39-53
1. Verfasser: Setiawan, Kusdhianto
Format: Artikel
Sprache:eng
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Zusammenfassung:This paper studies previous research on capital market integration and applies a simple international capital asset pricing model by considering the incompleteness in market integration and heteroscedasticity of the market returns. When we disregarded those two factors, we found that stock markets were integrated and the law of one price on risk premiums prevails. However, when the factors were considered, the markets were just partially integrated.
ISSN:1411-1128
2338-7238
DOI:10.22146/gamaijb.5466