Australia’s integration into the ASEAN- 5 Region
This paper attempts to evaluate the time-varying integration of Australian stock market in ASEAN-5 region (ASEAN + Australia, Korea, China, India and Japan) by using a conditional version of the international capital asset pricing model (ICAPM) allowing f
|Date of creation:||01 Jan 2014|
|Date of revision:|
|Contact details of provider:|| Postal: 184 Boulevard Saint-Germain, 75006 Paris|
Phone: 33 1 53 63 36 00
Web page: http://www.ipag.fr
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gikas A. Hardouvelis & Dimitrios Malliaropulos & Richard Priestley, 2006.
"EMU and European Stock Market Integration,"
The Journal of Business,
University of Chicago Press, vol. 79(1), pages 365-392, January.
- Tai, Chu-Sheng, 2007. "Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets," Emerging Markets Review, Elsevier, vol. 8(4), pages 264-283, December.
- Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration,"
Journal of Finance,
American Finance Association, vol. 50(2), pages 403-44, June.
- Black, Fischer, 1974. "International capital market equilibrium with investment barriers," Journal of Financial Economics, Elsevier, vol. 1(4), pages 337-352, December.
- Utpal Bhattacharya & Hazem Daouk, 2002. "The World Price of Insider Trading," Journal of Finance, American Finance Association, vol. 57(1), pages 75-108, 02.
- Lionel Fontagné & Michael Frudenberg & Nicolas Péridy, 1998. "Commerce international et structures de marché : une vérification empirique," Économie et Prévision, Programme National Persée, vol. 135(4), pages 147-167.
- Peter A. Petri, 2006.
"Is East Asia becoming more interdependent?,"
Federal Reserve Bank of San Francisco, issue Jun.
- Errunza, Vihang & Losq, Etienne & Padmanabhan, Prasad, 1992. "Tests of integration, mild segmentation and segmentation hypotheses," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 949-972, September.
- Carrieri, Francesca & Errunza, Vihang & Hogan, Ked, 2007. "Characterizing World Market Integration through Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(04), pages 915-940, December.
- Guesmi, Khaled & Nguyen, Duc Khuong, 2011.
"How strong is the global integration of emerging market regions? An empirical assessment,"
Elsevier, vol. 28(6), pages 2517-2527.
- Khaled Guesmi & Duc Khuong Nguyen, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," EconomiX Working Papers 2011-9, University of Paris West - Nanterre la Défense, EconomiX.
- Cooper, Ian A. & Kaplanis, Evi, 2000. "Partially segmented international capital markets and international capital budgeting," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 309-329, June.
- Choudhry, Taufiq & Lu, Lin & Peng, Ke, 2007. "Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 242-261.
- Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2473-2493.
When requesting a correction, please mention this item's handle: RePEc:ipg:wpaper:2014-207. 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: (Ingmar Schumacher)
If references are entirely missing, you can add them using this form.