A TEST FOR INTERNATIONAL EQUITY MARKET INTEGRATION

Date

1991

Author

AKDOĞAN, Haluk

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The paper has two objectives. First, it examines empirically the capital market integration versus segmentation issue in European Community (EC) stock markets. Second, it tests the validity of the hypothesis that the government impediments over capital markets are the only sources of segmentation using international asset pricing models. Evidence supports that the systematic risk vis-a-vis single index international (European) CAPM is priced after 1980 but not before. Further, we accept the hypothesis that market price of risk is the same across the EC markets after -but not before- the important regime switch year 1985 when capital controls were lifted over most EC exchanges. This result seems to justify that capital controls do cause segmentation in equity markets.

URI

https://hdl.handle.net/11511/110911

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Department of Economics, Article