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This Author published in this journals
All Journal Jurnal Keuangan dan Perbankan Gadjah Mada International Journal of Business Journal of Indonesian Economy and Business Jurnal Ilmu Manajemen dan akuntansi Terapan (JIMAT) Journal of Indonesian Economy and Business
Kusdhianto Setiawan
Department Of Management, Faculty Of Economics And Business, Universitas Gadjah Mada
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Journal : Gadjah Mada International Journal of Business

 1 
Stock Market Integration: Are Risk Premiums of International Assets Equal? Setiawan, Kusdhianto
Gadjah Mada International Journal of Business Vol 16, No 1 (2014): January-April
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (568.979 KB)

Abstract

This paper studies previous research on capital market integration and applies a simple international capital asset pricing model by considering the incompleteness in market integration and heteroscedasticity of the market returns. When we disregarded those two factors, we found that stock markets were integrated and the law of one price on risk premiums prevails. However, when the factors were considered, the markets were just partially integrated.    
Stock Market Integration: Are Risk Premiums of International Assets Equal? Kusdhianto Setiawan
Gadjah Mada International Journal of Business Vol 16, No 1 (2014): January-April
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (568.979 KB) | DOI: 10.22146/gamaijb.5466

Abstract

This paper studies previous research on capital market integration and applies a simple international capital asset pricing model by considering the incompleteness in market integration and heteroscedasticity of the market returns. When we disregarded those two factors, we found that stock markets were integrated and the law of one price on risk premiums prevails. However, when the factors were considered, the markets were just partially integrated.    
Co-Authors Al Asy Ari Adnan Hakim Eddy Junarsin Hayun Kusumah Hayun Kusumah Marwan Asri Muhammad Sofian Maksar R. Agus Sartono R.A. Sartono Setiyono, Bowo Sri Handaru Yuliati Vera Pipin Wulandari Vera Pipin Wulandari, Vera Pipin