재무관리연구 (The Korean Journal of Financial Management)
- 제15권2호
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- Pages.401-419
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- 1998
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- 1225-0759(pISSN)
The Segmentation Hypothesis of International Capital Markets; in the Regional Stock Markets Setting
- Ryu, Sung-Hee (Dept. of Business Administration, Kyonggi Univ.) ;
- Lee, Sang-Keun (Institute of Business Research, Sogang Univ.)
- 발행 : 1998.12.31
초록
This paper examines the international arbitrage pricing model (IAPM) in regional equity markets setting. Factor analyses are used to estimate the international common risk factors. And the cross-sectional regression analyses are used to test the validity of regional IAPMs and Chow tests are used to evaluate the integration of regional equity markets. The results of factor analyses show that the number of common factors in each regional group is seven. The cross-sectional regression results lead us not to reject that the IAPMs are regionally valid but Chow test results lead us to reject that regional equity markets are integrated.
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