Capital Market Integration – Evidence from the G7 Countries

Morelli, D.A. (2009) Capital Market Integration – Evidence from the G7 Countries. Applied Financial Economics, 19 (13). pp. 1043-1057. ISSN 1466-4305 . (The full text of this publication is not available from this repository)

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Official URL
http://dx.doi.org/10.1080/09603100802167262

Abstract

This article examines whether the capital markets of the G7 countries are integrated. Capital market integration is examined under the joint hypothesis of an international multifactor asset pricing model. International factors are extracted from a world portfolio using both maximum likelihood analysis and principal component analysis. Results show that international common factors exist, some of which are priced and equal across some countries, however, the international pricing model does not hold for all G7 countries. The price of risk is not found to be the same across all countries and the hypothesis of full capital market integration is not supported.

Item Type: Article
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Jennifer Knapp
Date Deposited: 03 Sep 2010 14:14
Last Modified: 13 Dec 2011 14:56
Resource URI: http://kar.kent.ac.uk/id/eprint/25467 (The current URI for this page, for reference purposes)
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