Equity Risk Premium and Regional Integration

Arbeitspapier

This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of segmentation vary from one region to anther and over time. Moreover, we establish that compared to developed market regions, emerging market regions have four main dissimilarities: the total risk premiums are significantly higher, more volatile, dominated by regional residual risk factors and reflect mostly regional events. However, in the recent period emerging market regions have become less segmented as a result of liberalization and reforms and the relative magnitude of the premium associated with global factors has increased.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 4158

Klassifikation und Themen

• Klassifikation: Wirtschaft ; International Financial Markets ; Financial Aspects of Economic Integration ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: asset pricing ; regional integration ; equity risk premium

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Arouri, Mohamed El Hedi ; Teulon, Frédéric ; Rault, Christophe
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/71165
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ