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    题名: Capital Market Integration and Exchange Rate Risk Exposure of the Asian Emerging Markets
    作者: Chow, Edward H.;Pin-Huang Chou;Gang Shyy
    周行一
    关键词: CAPM;exchange risk exposure;GMM;SUR;Bootstrap
    日期: 2002
    上传时间: 2008-11-05 17:08:53 (UTC+8)
    摘要: This paper investigates the integration relationship between the Asian emerging capital markets (AEMs) and the rest of the world in the context of an international Sharpe-Lintner CAPM during the period 1985-1996. Overall, the results show that the world capital markets, with the inclusion of the AEMs, are not integrated. The rejection can be attributed to exchange risk exposures of the AEMs during the 80`s. In addition, the results show that the AEMs become integrated with the world after 1991, the results of which are further confirmed by the fact that no exchange risk exposure is found for the AEMs after the 1991. However, the correlations between the AEMs and the world markets are still low.
    關聯: Taiwan Academy of Management Journal, 1(2), 165-182
    数据类型: article
    显示于类别:[財務管理學系] 期刊論文

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