An Empirical Study on the Integration of Capital Markets: In Asian Equity Markets Setting

Moonsok Oh and Sang Keun Lee
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Moonsok Oh: Sungkyul University
Sang Keun Lee: Sogang University

Korean Economic Review, 1999, vol. 15, 185-198

Abstract: This research tests the international arbitrage pricing model(IAPM) between Asian country equity markets. Factor analyses are used to estimate the Asian common risk factors. And cross-sectional regression analyses are used to test the validity of the IAPM and Chow test is used to examine the integration hypotheses between Asian country equity markets. Factor analysis results show that the number of common factors between Asian country equity markets ranges from three to six. The cross-sectional regression and Chow test results lead us not to reject the joint hypotheses that Japan and Hong Kong stock markets are integrated and that the IAPM is valid.

Keywords: International Diversification Effect; International Arbitrage Pricing Model(IAPM); International Equity Market Segmentation; Integration (search for similar items in EconPapers)
JEL-codes: G3 (search for similar items in EconPapers)
Date: 1999
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