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  • 标题:Are domestic Asian markets integrated with the regional one? An empirical assessment
  • 本地全文:下载
  • 作者:Khaled Guesmi
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2011
  • 卷号:31
  • 期号:1
  • 页码:A5
  • 出版社:Economics Bulletin
  • 摘要:This article investigates the evolution of the Asian stock market integration with the regional one. First, we estimate the time-varying degree of Asian market integration using conditional version of the International Capital Asset Pricing Model (ICAPM) with DCC-GARCH para-meters. Secondly, we study the structural breaks in these series. Finally, we relate the ob-tained results to important facts and economic events
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