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Khaled Guesmi
 
''Are domestic Asian markets integrated with the regional one? An empirical assessment''
( 2011, Vol. 31 No.1 )
 
 
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.
 
 
Keywords: Time-varying Integration, Emerging Markets, ICAPM, Risk Premium, DCC-GARCH.
 
Manuscript Received : Feb 01 2011 Manuscript Accepted : Feb 01 2011

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