Regional Equity Risk Premium Convergence: The case of Japan
AbstractThis paper attempts to evaluate the time-varying integration of Japanese stock market from a regional perspective, 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 local market risk price. Main findings are as follows: i) the prices of risk in Japan are extremely sensitive to major international economic and political events such as the different monetary and financial crises in Asian and Latin American countries in 1997, 1998 and 2001; ii) the level of market openness and development of the stock market satisfactorily explain the time-varying degree of Japanese stock integration.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 6.
Length: 16 pages
Date of creation: 06 May 2013
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
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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