Time-varying equity market integration in South East Asia and tests of the ICAPM
thesisposted on 2018-07-24, 10:42 authored by Galiya Benson
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.]
- Business and Economics
Publisher© Galiya Benson
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NotesA Doctoral Thesis. Submitted in partial fulfilment of the requirements for the award of Doctor of Philosophy at Loughborough University.