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

Mohamed El Hedi Arouri ()

International Finance from EconWPA

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.

Keywords: Financial Integration; Segmentation; ICAPM; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2004-10-05
Note: Type of Document - pdf; pages: 10
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:0410001

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