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.]
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School
- Business and Economics
Department
- Economics