Economics at your fingertips  

The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk

Mohamed Arouri ()

Economics Bulletin, 2004, vol. 6, issue 3, 1-13

Abstract: This paper tests a conditional International Asset Pricing Model (ICAPM) using an asymmetric multivariate GARCH specification and investigates evolutions of ex ante benefits from world market diversification. The model is estimated simultaneously for 8 markets: the world market, 4 developed markets and 3 emerging markets. This approach allows to the price of market risk, betas and correlations to vary through time. The evidence supports the financial integration hypothesis and suggests that investors from all countries could expect statistically significant benefits from international diversification but that gains are considerably larger for investors with smaller home markets

JEL-codes: F3 (search for similar items in EconPapers)
Date: 2004-03-18
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) (application/pdf)

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:

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

Page updated 2021-06-04
Handle: RePEc:ebl:ecbull:eb-03f30007