Robust Tests for Heteroscedasticity in a general Framework

Marie LEBRETON and Anne PEGUIN-FEISSOLLE ()

Annales d'Economie et de Statistique, 2007, issue 85, pages 159-187

Abstract: This article studies the world stock markets integration for developed and emerging countries and investigate its effects on diversification. We test a partially segmented ICAPM using an asymmetric multivariate GARCH-in-Mean specification. Our results support the integration hypothesis and suggest that investors from all studied countries could expect statistically significant benefits from international diversification but that gains are considerably larger for emerging markets.

Date: 2007
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Persistent link: http://EconPapers.repec.org/RePEc:adr:anecst:y:2007:i:85:p:07

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