Australia’s integration into the ASEAN- 5 Region
AbstractThis paper attempts to evaluate the time-varying integration of Australian stock market in ASEAN-5 region (ASEAN + Australia, Korea, China, India and Japan) by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, regional market risk price, currency risk price and domestic market risk price. Main findings are as follows: i) the prices of risk in Australia are extremely sensitive to major international economic and political events such as the different monetary and financial crises in international financial market; ii) the level of market openness and development of the stock market satisfactorily explain the time-varying degree of Australian stock integration.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-207.
Length: 9 pages
Date of creation: 10 Apr 2014
Date of revision:
ICAPM; ASEAN-5 region market integration; exchange rate risk;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-04-18 (All new papers)
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