Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects

2009/05/24 by Mohamed El Hédi Arouri, Arouri, Mohamed El Hedi
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Portfolio Management (q-fin.PM) #Statistical Finance (q-fin.ST)

paper · doi:10.48550/arxiv.0905.3875

openalex publication_date 2009/05/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Gerard (1997,1998). We find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence obtained from the whole period and sub-periods analysis supports the financial integration hypothesis and suggests that domestic risk is not a priced factor.

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