Gadjah Mada International Journal of Business
Vol 16, No 1 (2014): January-April

Stock Market Integration: Are Risk Premiums of International Assets Equal?

Setiawan, Kusdhianto ( Faculty Economics and Business, Universitas Gadjah Mada)

Article Info

Publish Date
28 Feb 2014

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.    

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Journal Info
Gadjah Mada International Journal of Business
Website

Abbrev

GAMAIJB

Publisher

Universitas Gadjah Mada

Subject

Economics, Econometrics & Finance

Description

Gadjah Mada International Journal of Business (GamaIJB) is a peer-reviewed journal published three times a year (January-April, May-August, and September-December) by Master of Management Program, Faculty of Economics and Business, Universitas Gadjah Mada. GamaIJB is intended to be the journal for ...