摘要翻译：
本文利用De Santis和Gerard(1997，1998)的多元GARCH过程的非对称扩展，检验了两个发达市场、两个新兴市场和世界市场的部分分段ICAPM。我们发现这种非对称过程比标准对称过程提供了更好的数据拟合。从全周期和分周期分析得到的证据支持了金融一体化假说，并表明国内风险不是一个定价因素。
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英文标题：
《Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM
  with Asymmetric Effects》
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作者：
Mohamed El Hedi Arouri (LEO)
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  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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PDF链接：
https://arxiv.org/pdf/0905.3875