2134/34100 Galiya Benson Galiya Benson Time-varying equity market integration in South East Asia and tests of the ICAPM Loughborough University 2018 untagged Economics not elsewhere classified 2018-07-24 10:42:10 Thesis https://repository.lboro.ac.uk/articles/thesis/Time-varying_equity_market_integration_in_South_East_Asia_and_tests_of_the_ICAPM/9492221 I test the conditional international CAPM using 1990–2003 data for nine South-East Asian markets. Previous research has concluded that conditional ICAPM fails to explain expected returns in emerging markets. I argue that this is due to variations in the degree of integration among industry or size components of local equity portfolios. To test this hypothesis, I construct country, industry and market capitalisation portfolios and test the conditional ICAPM separately for each portfolio. The ICAPM is rejected more often for industries which produce mainly locally-traded outputs and for smaller market capitalisation portfolios. [Continues.]