INTEGRATION - SEGMENTATION OF INTERNATIONAL CAPITAL MARKETS - Hadidane, Dhouha
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International financial integration is a central theme in international finance. Indeed, since the 1990s, the degree of integration of emerging markets has increased significantly, due to the reduction of barriers to portfolio flows, liberalization of capital markets and the introduction of ADRs and country funds on US stock exchanges. In this work, three conditional versions of CAPM International were estimated using data from 22 financial markets over the period 1987-2004. The results indicate that the global market portfolio is conditionally efficient in the mean-variance sense for G7…mehr

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Produktbeschreibung
International financial integration is a central theme in international finance. Indeed, since the 1990s, the degree of integration of emerging markets has increased significantly, due to the reduction of barriers to portfolio flows, liberalization of capital markets and the introduction of ADRs and country funds on US stock exchanges. In this work, three conditional versions of CAPM International were estimated using data from 22 financial markets over the period 1987-2004. The results indicate that the global market portfolio is conditionally efficient in the mean-variance sense for G7 countries, and that the highest betas are recorded in emerging financial markets. Estimation of the CAPM in the case where the global price of covariance risk is constant, indicates that risk remuneration varies considerably between the 22 countries examined. The global price of covariance risk is only constant for the G7 as a whole, so the financial integration hypothesis is only valid for the largest developed countries.
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Autorenporträt
La Dra. Dhouha Hadidane Chkioua es profesora e investigadora de Finanzas en la Escuela Superior de Ciencias Económicas y Comerciales de Túnez, Universidad de Túnez. Es miembro del Grupo de Finanzas Internacionales (IFGT) de Túnez y autora de varios artículos publicados en revistas internacionales indexadas.