Pacific Basin stock markets and international capital asset pricing |
| |
Authors: | Yin-Ching Jan Peter Shyan-Rong Chou Mao-Wei Hung |
| |
Institution: | 1. Department of Physics, Faculty of Science, Arak University, Arak 38156-8 8349, Iran;2. Department of Physics, Hanyang University, Seoul 04763, South Korea;3. Department of Applied Physics and Department of Bionanotechnology, Hanyang University, Ansan, Kyunggi-Do 15588, South Korea;1. IÉSEG School of Management & LEM-CNRS (UMR 9221) 3, rue de la Digue, 59 000 Lille, France;2. LEM-CNRS (UMR 9221) & IÉSEG School of Management 3, rue de la Digue, 59 000 Lille, France;1. Research Service, VA San Diego Healthcare System, San Diego, CA;2. Department of Psychiatry, University of California, San Diego, CA;3. Department of Neurosciences, University of California, San Diego, CA;4. Psychology Service, VA San Diego Healthcare System, San Diego, CA;5. Neurology Service, VA San Diego Healthcare System, San Diego, CA |
| |
Abstract: | In this paper, we follow Harvey (1991) to investigate whether rates of return on Pacific Basin stock markets can be explained by conditional version of International Capital Asset Pricing Model (ICAPM), which allows for time-varying expected returns, variances, and covariances. The results show that most individual Pacific Basin markets can be described by the conditional ICAPM. However, the multiple markets' tests do not support the conditional ICAPM formulation, and the estimates of world reward to risk ratio are not the same across these markets. Furthermore, the Ghysels and Hall test (Ghysels & Hall, 1990a, 1990b) shows that the estimates of parameter are also unstable in the conditional ICAPM formulation. This implies that it is difficult to use world return to describe the relationship between expected return and risk for the Pacific Basin stock markets. |
| |
Keywords: | Capital asset pricing model International Capital Pricing Model Generalized method of moment Pacific Basin stock markets Structural stability test |
本文献已被 ScienceDirect 等数据库收录! |
|