Thesis-2007-Benson.pdf (13.01 MB)
Download fileTime-varying equity market integration in South East Asia and tests of the ICAPM
thesis
posted on 2018-07-24, 10:42 authored by Galiya BensonI 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.]
History
School
- Business and Economics
Department
- Economics
Publisher
© Galiya BensonPublisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Publication date
2007Notes
A Doctoral Thesis. Submitted in partial fulfilment of the requirements for the award of Doctor of Philosophy at Loughborough University.Language
- en