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Intégration des marchés boursiers d’Asie et des États-Unis

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  • Samson, Lucie

    (Département d’économique, Université Laval)

  • Diaw, Fatou

    (Département d’économique, Université Laval)

Abstract

This paper presents an analysis of stock returns from three Asian countries, Hong-Kong, Malaysia and Singapor simultaneously with the New York Stock Exchange (NYSE). Two approaches are presented, the first relies on the specification of individuals preferences while the second treats the latter as an unobservable variable. The two approaches have led to the same empirical result, namely that the level of integration of these stock markets has increased between 1981:3 and 1993:3. Nous présentons dans cette étude une analyse des rendements boursiers de trois pays d’Asie, Hong-Kong, la Malaisie et Singapour, simultanément avec le marché de New York (NYSE). Deux approches sont proposées, une première qui repose sur la spécification des préférences des individus et une seconde qui modélise plutôt celles-ci comme une variable non observable. Les deux approches ont donné lieu au même résultat empirique impliquant une augmentation dans le niveau d’intégration de ces quatre marchés boursiers entre 1981:3 et 1993:3.

Suggested Citation

  • Samson, Lucie & Diaw, Fatou, 1995. "Intégration des marchés boursiers d’Asie et des États-Unis," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(4), pages 481-497, décembre.
    • Handle: RePEc:ris:actuec:v:71:y:1995:i:4:p:481-497
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