Logo
Munich Personal RePEc Archive

Financial integration and Japanese stock market

Guesmi, Khaled and Kablan, Sandrine (2015): Financial integration and Japanese stock market.

[thumbnail of MPRA_paper_70206.pdf]
Preview
PDF
MPRA_paper_70206.pdf

Download (1MB) | Preview

Abstract

Our paper tests the conditional version of the International Capital Asset Pricing Model (ICAPM) applying a parsimonious multivariate DCC - GARCH process. By permitting the prices of risk and the level of market integration to vary through time, our results show that Japan experienced increases in the degree of regional integration in last years. The increasing integration into regional financial markets alone is unlikely to provide a sound ground for a currency union in ASEAN+5 at this stage, but improvement in welfare gains in the ASEAN+5 economies by means of further risk sharing is possible.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.