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Khaled Guesmi
''Time varying regional integration in emerging stock market''
( 2011, Vol. 31 No.2 )
Abstract This paper studies the regional stock market integration process. First, we estimate the time-varying world market risk price and the price of currency risk using an international CAPM with segmentation effects. Second, we study the time varying integration with Markov Switching Model. Finally, we relate the obtained results to important facts and economic events.
Keywords: Exchange Risk Premium, International Financial Integration, Emerging Markets, Conditional International Capital Asset Pricing Model (ICAPM), Multivariate BEKK-GARCH, Markov Switching Model
JEL: F4 - Macroeconomic Aspects of International Trade and Finance: General
F3 - International Finance: General
Manuscript Received : Mar 03 2011 Manuscript Accepted : Apr 10 2011

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