Empirical examination of equity market integration in European Community: An asset pricing model.
Item
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Title
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Empirical examination of equity market integration in European Community: An asset pricing model.
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Identifier
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AAI9130288
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identifier
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9130288
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Creator
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Akdogan, Haluk.
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Contributor
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Adviser: Yaman Asikoglu
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Date
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1991
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, Finance
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Abstract
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We attempt to examine empirically the capital market integration versus segmentation issue in European Community stock markets. The question of equity market integration across the Community markets is analyzed by employing asset pricing models as empirical tools. Evidence supports that the EC stock exchanges have been headed toward a more integrated European market for securities since the early 80s. However, the movement is rather slow. Evidence also suggests that some EC markets are better integrated among themselves than the rest of the Community. Special empirical emphasis is given to the sources of segmentation. In this context we test whether or not capital controls over the equity markets play a deterministic role in the level of market segmentation. There, we fail to accept the hypothesis that market price of risk is the same across the EC markets after two important legislation years when most capital controls were lifted. We do observe, however, that there is a gradual trend toward an integrated EC equity market when we contemplate how well an EC composite model explains the movements in security returns in a sample of eight Community stock markets. The monthly data on stock prices are used.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
