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Dynamics of Market Integration and International Asset Pricing

  • Mohamed El Hedi Arouri
  • Fredj Jawadi
  • Duc Khuong Nguyen
Chapter
Part of the Contributions to Management Science book series (MANAGEMENT SC.)

Abstract

In the chapter, we discuss some problems associated with international asset pricing. Indeed, investors from different countries face different investment and consumption opportunities. Thus, international models should make assumptions regarding market integration and purchasing power parity (PPP). Then, we present some international extensions of the CAPM and assess the pricing error when the investor uses the domestic CAPM to price assets while his market in not strictly segmented. Finally, we use a partial integrated international CAPM to investigate the evolution of the market integration degree of a Latin American emerging market (Mexico) into the world market.

Keywords

Risk Premium Purchase Power Parity Financial Asset Investment Opportunity Market Integration 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • Mohamed El Hedi Arouri
    • 1
  • Fredj Jawadi
    • 2
  • Duc Khuong Nguyen
    • 3
  1. 1.Faculty of Law, Economics, and ManagementUniversity of OrleansOrléansFrance
  2. 2.Amiens School of ManagementAmiensFrance
  3. 3.ISC Paris School of ManagementParisFrance

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