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Time-varying equity market integration in South East Asia and tests of the ICAPM

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posted on 24.07.2018 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.]

History

School

  • Business and Economics

Department

  • Economics

Publisher

© Galiya Benson

Publisher 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

2007

Notes

A Doctoral Thesis. Submitted in partial fulfilment of the requirements for the award of Doctor of Philosophy at Loughborough University.

Language

en

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