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A Real Return Test of International Capital Market Efficiency

In: The Changing Environment of International Financial Markets

Author

Listed:
  • Shahriar Khaksari
  • Neil Seitz

Abstract

The nature of the mean-variance efficient frontiers available to investors in various countries (when internationally diversified portfolios are constructed) is of interest for practical and theoretical reasons. First, there is the practical question of the benefits investors in various countries gain from international diversification. Secondly, to theoreticians (and policy makers as well) there is the question of whether international capital markets are fully integrated. If the markets are integrated, an extension of standard efficiency definitions leads to the prediction that investors in all countries will have identical efficient frontiers.

Suggested Citation

  • Shahriar Khaksari & Neil Seitz, 1994. "A Real Return Test of International Capital Market Efficiency," Palgrave Macmillan Books, in: Dilip K. Ghosh & Edgar Ortiz (ed.), The Changing Environment of International Financial Markets, chapter 14, pages 189-200, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-23161-4_14
    DOI: 10.1007/978-1-349-23161-4_14
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