English, Article edition: Equity Integration in Japan: An Application of a New Method Rose, Andrew-K

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Bookmark: http://trove.nla.gov.au/version/35802
Physical Description
  • article
Language
  • English

Edition details

Title
  • Equity Integration in Japan: An Application of a New Method
Author
  • Rose, Andrew-K
Physical Description
  • article
Notes
  • This paper develops a simple new methodology to test for asset integration and applies it to the Japanese stock market as represented by the Tokyo Stock Exchange (TSE). The technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they are equal across (risk-adjusted) assets. Assets are allowed to have general risk characteristics, and are constrained only by a factor model of covariances over short time periods. The technique is undemanding in terms of both data and estimation. I find that expected risk-free rates vary dramatically over time, unlike short-term interest rates. Further, the TSE does not always seem to be well integrated in the sense that different portfolios of stocks are priced with different implicit risk-free rates.
  • RePEc:ime:imemes:v:22:y:2004:i:2:p:1-17
Language
  • English
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