Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects.
Arouri , Mohamed El Hedi
- Publisher: HAL CCSD
[ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | Quantitative Finance - Portfolio Management | [ QFIN.ST ] Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST] | [ QFIN.GN ] Quantitative Finance [q-fin]/General Finance [q-fin.GN] | Quantitative Finance - Statistical Finance
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Gerard (1997,1998). We find that this asymmetric process provides a sign...