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L'intégration boursière internationale: Tests et effets sur la diversification

Mohamed Arouri ()

Annals of Economics and Statistics, 2007, issue 85, 189-218

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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Handle: RePEc:adr:anecst:y:2007:i:85:p:189-218