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| Khaled Guesmi |
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| ''Are domestic Asian markets integrated with the regional one? An empirical assessment'' |
| ( 2011, Vol. 31 No.1 ) |
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| This article investigates the evolution of the Asian stock market integration with the regional one. First, we estimate the time-varying degree of Asian market integration using conditional version of the International Capital Asset Pricing Model (ICAPM) with DCC-GARCH para-meters. Secondly, we study the structural breaks in these series. Finally, we relate the ob-tained results to important facts and economic events. |
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| Keywords: Time-varying Integration, Emerging Markets, ICAPM, Risk Premium, DCC-GARCH. |
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| Manuscript Received : Feb 01 2011 | | Manuscript Accepted : Feb 01 2011 |
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