Morelli, David A. (2010) European Capital Market Integration: An Empirical Study Based on an European Asset Pricing Model. Journal of International Financial Markets, Institutions and Money, 20 (4). pp. 363-375. ISSN 1042-4431. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)
This paper investigates the integration between the capital markets of 15 European countries, all of which are members of the European Union. Integration is tested under the joint hypothesis of a European multifactor asset pricing model. A European portfolio is constructed from which common factors are extracted using maximum likelihood factor analysis. Empirical tests are undertaken to determine whether these European factors are not only priced, but also equally priced across the European capital markets. The results show that a number of common factors are extracted from the European portfolio and a degree of capital market integration is shown to exist across the European capital markets.
|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 14:06|
|Last Modified:||02 Jun 2014 12:57|
|Resource URI:||https://kar.kent.ac.uk/id/eprint/25466 (The current URI for this page, for reference purposes)|