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L'intégration boursière internationale : Tests et effets sur la diversification

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  • Mohamed El Hedi Arouri

Abstract

This article studies the world stock markets integration for developed and emerging countries and investigate its effects on diversification. We test a partially segmented ICAPM using an asymmetric multivariate GARCH-in-Mean specification. Our results support the integration hypothesis and suggest that investors from all studied countries could expect statistically significant benefits from international diversification but that gains are considerably larger for emerging markets.

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  • Mohamed El Hedi Arouri, 2007. "L'intégration boursière internationale : Tests et effets sur la diversification," Annals of Economics and Statistics, GENES, issue 85, pages 189-218.
    • Handle: RePEc:adr:anecst:y:2007:i:85:p:189-218
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    File URL: http://www.jstor.org/stable/20079185
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    Cited by:

    1. Mounira Chniguir & Mohamed Karim Kefi & Jamel Eddine Henchiri, 2017. "The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study," International Journal of Economics and Financial Issues, Econjournals, vol. 7(6), pages 182-191.

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