Stock market integration : Are risk premiums of international assets equal

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Stock market integration : Are risk premiums of international assets equal

Setiawan, Kusdhianto - Nama Orang; Kusdhianto Setiawan - Nama Orang;

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

Ketersediaan

Perpustakaan A. Yani J 650 Int

005 - 16012014/03

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Informasi Detail

Judul Seri: -
No. Panggil: J 650 Int
Penerbit: Yogyakarta : Fakultas Ekonomi UGM., 2014
Deskripsi Fisik: ii , 24 hlm,: 24 cm
Bahasa: English
ISBN/ISSN: 14111128
Klasifikasi: 650
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: Vol.16, No.1, Jan - Apr 2014: 39-53
Subjek: Market Integration
Info Detail Spesifik: https://jurnal.ugm.ac.id/gamaijb/article/view/5466
Pernyataan Tanggungjawab: Basu Swastha Dharmesta

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