A Real Return Test of International Capital Market Efficiency

Shahriar Khaksari and Neil Seitz

Chapter 14 in The Changing Environment of International Financial Markets, 1994, pp 189-200 from Palgrave Macmillan

Abstract: Abstract The nature of the mean-variance efficient frontiers available to investors in various countries (when internationally diversified portfolios are constructed) is of interest for practical and theoretical reasons. First, there is the practical question of the benefits investors in various countries gain from international diversification. Secondly, to theoreticians (and policy makers as well) there is the question of whether international capital markets are fully integrated. If the markets are integrated, an extension of standard efficiency definitions leads to the prediction that investors in all countries will have identical efficient frontiers.

Keywords: Consumer Price Index; Efficient Frontier; International Capital; Real Return; Portfolio Return (search for similar items in EconPapers)
Date: 1994
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DOI: 10.1007/978-1-349-23161-4_14

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