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The Impact Of Evolving Market Integration On Apec Emerging Stock Markets' World Betas

Author

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  • XIAO-MING LI

    () (Department of Commerce, Massey University, Auckland, New Zealand)

  • LAWRENCE C ROSE

    (College of Business, Massey University, Auckland, New Zealand)

Abstract

This paper, based on the international capital asset pricing model estimated using the Kalman filter (KF) technique, examines the relationship between market integration and the systematic risk of Asia-Pacific Economic Cooperation (APEC) emerging stock markets with respect to the world portfolio. We find strong evidence that local and regional integrations have effects on systematic risk and hence on returns, and certain evidence of the direct effects of market integrations on returns. Our results documented for individual markets show a heterogeneous pattern across the APEC region, implying that a one-rule-fits-all regulation policy would hurt some countries while assisting others.

Suggested Citation

  • Xiao-Ming Li & Lawrence C Rose, 2006. "The Impact Of Evolving Market Integration On Apec Emerging Stock Markets' World Betas," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-17.
  • Handle: RePEc:wsi:afexxx:v:02:y:2006:i:01:n:s2010495206500011
    DOI: 10.1142/S2010495206500011
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    More about this item

    Keywords

    APEC emerging markets; market integration; I-CAPM; Kalman filter; F3; G12; G15;

    JEL classification:

    • F3 - International Economics - - International Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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