English, Article edition: Capital market integration: evidence from the G7 countries David Morelli

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Bookmark: http://trove.nla.gov.au/version/50188
Physical Description
  • article
Language
  • English

Edition details

Title
  • Capital market integration: evidence from the G7 countries
Author
  • David Morelli
Physical Description
  • article
Notes
  • 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.
  • RePEc:taf:apfiec:v:19:y:2009:i:13:p:1043-1057
Language
  • English
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