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
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.jstor.org/stable/20079185 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2007:i:85:p:189-218

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().