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An Empirical Study on the Integration of Capital Markets: In Asian Equity Markets Setting

Author

Listed:
  • Moonsok Oh

    (Sungkyul University)

  • Sang Keun Lee

    (Sogang University)

Abstract

This research tests the international arbitrage pricing model(IAPM) between Asian country equity markets. Factor analyses are used to estimate the Asian common risk factors. And cross-sectional regression analyses are used to test the validity of the IAPM and Chow test is used to examine the integration hypotheses between Asian country equity markets. Factor analysis results show that the number of common factors between Asian country equity markets ranges from three to six. The cross-sectional regression and Chow test results lead us not to reject the joint hypotheses that Japan and Hong Kong stock markets are integrated and that the IAPM is valid.

Suggested Citation

  • Moonsok Oh & Sang Keun Lee, 1999. "An Empirical Study on the Integration of Capital Markets: In Asian Equity Markets Setting," Korean Economic Review, Korean Economic Association, vol. 15, pages 185-198.
    • Handle: RePEc:kea:keappr:ker-199906-15-1-10
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    More about this item

    Keywords

    International Diversification Effect; International Arbitrage Pricing Model(IAPM); International Equity Market Segmentation; Integration;
    All these keywords.

    JEL classification:

    • G3 - Financial Economics - - Corporate Finance and Governance

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