Stock Market Integration: Are Risk Premiums of International Assets Equal?

Keywords: stock market, risk, asset

Abstract

This paper studies previous research on capital market integration and applies a simple international capital asset pricing model by considering the incompleteness in market integration and heteroscedasticity of the market returns. When we disregarded those two factors, we found that stock markets were integrated and the law of one price on risk premiums prevails. However, when the factors were considered, the markets were just partially integrated.

Author Biography

Kusdhianto Setiawan, Universitas Gadjah Mada

SETIAWAN, Kusdhianto, is a faculty member and researcher at Faculty of Economics and Business, Universitas Gadjah Mada. He is also a research fellow at Hiroshima University of Economics, Japan. He earned his Siviløkonom (Master of Science in Business Administration) in 2002, from Agder University College, Norway; and his Ph.D. (2013) from Hiroshima University of Economics, Japan. Some of his works have been published in Review of Economic and Business Studies; International Journal of Economic Policy Studies; International Journal of Operational Research; and International Journal of Economics and Business Research.
    Author’s contact details: Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada, Jl. Teknika Utara 1, Yogyakarta, Indonesia; e-mail: s.kusdhianto@ugm.ac.id.

References

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Published
2014-02-28
How to Cite
Setiawan, K. (2014). Stock Market Integration: Are Risk Premiums of International Assets Equal?. Gadjah Mada International Journal of Business, 16(1), 39-53. Retrieved from https://journal.ugm.ac.id/v3/gamaijb/article/view/15458
Issue
Vol 16 No 1 (2014): January-April
Section
Articles

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Gadjah Mada International Journal of Business by Master of Business Administration, Faculty Economics and Business, Universitas Gadjah Mada is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.