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L’intégration intra-régionale des marchés boursiers de l’Europe du sudest : une analyse multivariée

Author

Listed:
  • Khaled Guesmi
  • Duc Khuong Nguyen

Abstract

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasi

Suggested Citation

  • Khaled Guesmi & Duc Khuong Nguyen, 2014. "L’intégration intra-régionale des marchés boursiers de l’Europe du sudest : une analyse multivariée," Working Papers 2014-219, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-219
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    File URL: http://www.ipag.fr/wp-content/uploads/recherche/WP/IPAG_WP_2014_219.pdf
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    1. repec:ipg:wpaper:2014-468 is not listed on IDEAS
    2. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    3. repec:ipg:wpaper:2014-511 is not listed on IDEAS
    4. repec:ipg:wpaper:2014-415 is not listed on IDEAS
    5. repec:ipg:wpaper:2014-510 is not listed on IDEAS

    More about this item

    Keywords

    ICAPM; market integration; exchange rate risk;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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