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Title: Time-varying equity market integration in South East Asia and tests of the ICAPM
Author: Benson, Galiya
ISNI:       0000 0001 3460 3190
Awarding Body: Loughborough University
Current Institution: Loughborough University
Date of Award: 2007
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I test the conditional international CAPM using 1990–2003 data for nine South-East Asian markets. Previous research has concluded that conditional ICAPM fails to explain expected returns in emerging markets. I argue that this is due to variations in the degree of integration among industry or size components of local equity portfolios. To test this hypothesis, I construct country, industry and market capitalisation portfolios and test the conditional ICAPM separately for each portfolio. The ICAPM is rejected more often for industries which produce mainly locally-traded outputs and for smaller market capitalisation portfolios.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available