Integration versus segmentation in Middle East North Africa equity market: Time variations and currency risk

Khaled Guesmi, Jean-Yves Moisseron and Frédéric Teulon

No 2014-293, Working Papers from Department of Research, Ipag Business School

Abstract: This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasi

Keywords: Multivariate GARCH; Intra-regional integration; CAPM (Capital Asset Pricing Model) (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Pages: pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ara
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Citations: View citations in EconPapers (27)

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Journal Article: Integration versus segmentation in Middle East North Africa Equity Market: Time variations and currency risk (2014)
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