Emerging Stock Markets and International Asset Pricing
This article investigates whether emerging stock markets are now part of the global financial market and characterizes return behavior in these markets. Tests of the conditional International Capital Asset Pricing Model (ICAPM) reveal that eighteen of the twenty largest emerging markets were integrated with the world market between December 1984 and December 1991, but that many of the same markets reject the model when data for 1977-84 are used. These results suggest that large capital inflows from industrial economies, beginning in the late 1980s, caused prices in emerging markets to reflect covariance risk with the world portfolio, thus inducing their consistency with the ICAPM. Copyright 1995 by Oxford University Press.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 9 (1995)
Issue (Month): 1 (January)
|Contact details of provider:|| Postal: |
Phone: (202) 477-1234
Fax: 01865 267 985
Web page: http://wber.oxfordjournals.org/
More information through EDIRC
|Order Information:||Web: http://www.oup.co.uk/journals|
When requesting a correction, please mention this item's handle: RePEc:oup:wbecrv:v:9:y:1995:i:1:p:51-74. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.