Market integration and currency risk in Asian emerging markets

Research in International Business and Finance

Volumn 21, Issue 1, 2007, Pages 98-117

  Tai, Chu Sheng ^a  

^a TEXAS SOUTHERN UNIVERSITY   (United States)

Author keywords

Asset pricing; Currency risk; Market integration; Multivariate GARCH M

Indexed keywords

EID: 33751107770     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2006.03.001     Document Type: Article

References (49)

1. Adler M., and Dumas G. International portfolio choice and corporate finance: a synthesis. J. Finance 38 (1983) 925-984
2. Baba, Y., Engle, R.F., Kraft, D.F., Kroner, K.F., 1989. Multivariate simultaneous generalized ARCH. Working Paper. University of California, San Diego.
3. Bekaert G., and Harvey C.R. Time-varying world market integration. J. Finance 50 (1995) 403-444
4. Bekaert G., and Harvey C.R. Emerging equity market volatility. J. Financ. Econ. 43 (1997) 29-77
5. Bekaert G., and Harvey C.R. Foreign speculators and emerging equity markets. J. Finance 55 (2000) 565-613
6. Bekaert G., Harvey C.R., and Lumsdaine R. Dating the integration of world equity markets. J. Financ. Econ. 65 (2002) 203-247
7. Bekaert G., Harvey C.R., and Lundblad C. Emerging equity markets and economic development. J. Dev. Econ. 66 (2001) 465-504
8. Bekaert G., Harvey C.R., and Lundblad C. Does financial liberalization spur growth?. J. Financ. Econ. 77 (2005) 3-55
9. Bekaert G., and Hodrick R.J. Characterizing predictable components in excess returns on equity and foreign exchange markets. J. Finance 47 (1992) 467-508
10. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. J. Economet. 31 (1986) 307-327
11. Bollerslev T., and Wooldridge J.M. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Economet. Rev. 11 (1992) 143-172
12. Carrieri, F., Errunza, V., Hogan, K., 2001. Characterizing world market integration through time. Working Paper. McGill University and Barclays Global Investors.
13. Chelley-Steeley P. Equity market integration in the Asia-Pacific region: a smooth transition analysis. Int. Rev. Financ. Anal. 13 (2004) 621-632
14. Choi J.J., and Rajan M. A joint test of market segmentation and exchange risk factor in international capital markets. J. Int. Bus. Stud. 28 (1997) 29-49
15. De Santis G., and Gerard B. International asset pricing and portfolio diversification with time-varying risk. J. Finance 52 (1997) 1881-1912
16. De Santis G., and Gerard B. How big is the premium for currency risk?. J. Financ. Econ. 49 (1998) 375-412
17. De Santis G., and Imrohoroglu S. Stock returns and volatility in emerging financial markets. J. Int. Money Finance 16 (1997) 561-579
18. Ding, Z., Engle, R.F., 1994. Large scale conditional covariance matrix modeling, estimation and testing. UCSD Discussion Paper.
19. Dumas B., and Solnik B. The world price of exchange rate risk. J. Finance 50 (1995) 445-479
20. Engle R.F., and Ng V.K. Measuring and testing the impact of news on volatility. J. Finance 48 (1993) 1749-1778
21. Errunza V., and Losq E. International asset pricing under mild segmentation: theory and test. J. Finance 40 (1985) 105-124
22. Errunza V.R., Losq E., and Padmanabhan P. Tests of integration, mild segmentation and segmentation hypotheses. J. Bank. Finance 16 (1992) 949-972
23. Eun C.S., and Janakiramanan S. A model of international asset pricing with a constraint on the foreign equity ownership. J. Finance 41 (1986) 897-914
24. Ferson W.E., and Harvey C.R. The variation of economic risk premium. J. Polit. Econ. 99 (1991) 385-415
25. Ferson W.E., and Harvey C.R. The risk and predictability of international equity returns. Rev. Financ. Stud. 6 (1993) 527-567
26. Ferson W.E., and Harvey C.R. Sources of risk and expected returns in global equity markets. J. Bank. Finance 18 (1994) 775-803
27. Ferson W.E., Kandel S.A., and Stambaugh R.F. Tests of asset pricing with time-varying expected risk premiums and market betas. J. Finance 62 (1987) 201-220
28. Hardouvelis, G., Malliaropulos, D., Priestley, R., 2006. EMU and European stock market integration. J. Bus. (forthcoming).
29. Henry P.B. Equity prices, stock market liberalization, and investment. J. Financ. Econ. 58 (2000) 301-334
30. Henry P.B. Stock market liberalization, economic reform, and emerging market equity prices. J. Finance 55 (2000) 529-564
31. Harvey C.R. Time-varying conditional covariances in tests of asset pricing models. J. Financ. Econ. 24 (1989) 289-318
32. Harvey C.R. The world price of covariance risk. J. Finance 46 (1991) 117-157
33. Jorion P., and Schwartz E. Integration vs. segmentation in the Canadian stock market. J. Finance 41 (1986) 603-616
34. Jorion P. The pricing of exchange risk in the stock market. J. Financ. Quant. Anal. 26 (1991) 362-376
35. Korajczyk R.A., and Viallet C.J. An empirical investigation of international asset pricing. Rev. Financ. Stud. 2 (1989) 553-585
36. Lintner J. The valuation of risk assets and the selection of risk investments in stock portfolios and capital budgets. Rev. Econ. Stat. 47 (1965) 13-37
37. Merton R.C. An intertemporal capital asset pricing model. Econometrica 41 (1973) 867-888
38. Merton R.C. On estimating the expected return on the market. J. Financ. Econ. 54 (1980) 363-403
39. Obstfeld M. Risk taking, global diversification and growth. Am. Econ. Rev. 84 (1994) 1310-1329
40. Prasad A.M., and Rajan M. The role of exchange and interest risk in equity valuation: a comparative study of international stock markets. J. Econ. Bus. 47 (1995) 457-472
41. Ross S.A. The arbitrage pricing theory of capital asset pricing. J. Econ. Theory 13 (1976) 341-360
42. Sharpe W. Capital asset prices: a theory of market equilibrium under conditions of risk. J. Finance 19 (1964) 425-442
43. Solnik B.H. An equilibrium model of the international capital market. J. Econ. Theory 8 (1974) 500-524
44. Stehle R. An empirical test of alternative hypotheses of national and international pricing of risky assets. J. Finance 32 (1977) 493-502
45. Solnik B.H. International arbitrage pricing theory. J. Finance 38 (1983) 449-457
46. Stulz R.M. A model of international asset pricing. J. Financ. Econ. 9 (1981) 383-406
47. Stulz, R.M., 1999. Globalization of equity markets and the cost of capital. Working Paper. The Ohio State University.
48. Voronkova S. Equity market integration in Central European emerging markets: a cointegration analysis with shifting regimes. Int. Rev. Financ. Anal. 13 (2004) 633-647
49. Wheatley S. Some tests of international equity integration. J. Financ. Econ. 21 (1988) 177-212