Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/71165 
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper No. 4158
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of segmentation vary from one region to anther and over time. Moreover, we establish that compared to developed market regions, emerging market regions have four main dissimilarities: the total risk premiums are significantly higher, more volatile, dominated by regional residual risk factors and reflect mostly regional events. However, in the recent period emerging market regions have become less segmented as a result of liberalization and reforms and the relative magnitude of the premium associated with global factors has increased.
Subjects: 
asset pricing
regional integration
equity risk premium
JEL: 
G15
F36
C32
Document Type: 
Working Paper
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