The Evolution of Risk Premiums in Emerging Stock Markets: The Case of Latin America and Asia Region

Salma Fattoum, Khaled Guesmi and Bruno-Laurent Moschetto

No 2014-132, Working Papers from Department of Research, Ipag Business School

Abstract: This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America and Asia over the period 1996-2008. This model allows for three

Keywords: ICAPM; stock market integration; exchange rate risk (search for similar items in EconPapers)
JEL-codes: C3 F31 G12 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-lam, nep-rmg and nep-sea
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Citations: View citations in EconPapers (8)

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