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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.]