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An unobserved component model of asset pricing across financial markets
Adrian M. Cowana, 
, 
and Frederick L. Joutzb aDepartment of Finance, Economics and Quantitative Methods, University of Alabama at Birmingham, 1150 10th Avenue South, BEC 317F, Birmingham, AL 35294, United States bDepartment of Economics, The George Washington University, Washington, D.C., United States Available online 20 November 2004.
Our research focuses on multifactor asset pricing models that investigate the importance of economic factors in the pricing of assets beyond the scope of the stock market. We present a Bayesian learning model of asset pricing across financial markets in which unobserved components are estimated using a Kalman filter (KF). Economic factors serve to drive the pricing of risk in the market, and agents update expectations recursively, as new information becomes available. We generally find that the Kalman filter provides superior performance and that economic factors like industrial production and unanticipated inflation provide consistent implications across financial markets.
Keywords: Asset pricing; Kalman filter; Bayesian learning
JEL classification: G12; E44
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Multifractal model of asset returns with leverage effect
Z. Eisler, , a and J. Kertésza, b a Department of Theoretical Physics, Budapest University of Technology and Economics, Budafoki út 8, H-1111, Budapest, Hungary b Laboratory of Computational Engineering, Helsinki University of Technology, P.O.Box 9400, FIN-02015, HUT, Finland Revised 22 April 2004. Available online 15 June 2004.
Measuring financial and economic integration with equity prices in emerging markets
Kate Phylaktis, and Fabiola Ravazzolo, †, † City University Business School, Frobisher Crescent, Barbican Centre, London EC2Y 8HB, UK Available online 2 November 2002.
This paper examines real and financial links simultaneously at the regional and global level for a group of Pacific-Basin countries by analysing the covariance of excess returns on national stock markets over the period 1980–1998. We find overwhelming evidence at the regional and global level and for all sub-periods that financial integration is accompanied by economic integration. This seems to suggest that economic integration provides a channel for financial integration, which explains, at least partly, the high degree of financial integration found in this study and in other studies for this region even in the presence of foreign exchange controls. This result has important implications for the use of restrictions to isolate capital markets from world influences.
Author Keywords: Capital market integration; Emerging markets; Pacific-Basin capital markets
JEL classification codes: F36; G15
9885.rar
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