Capital Market Deregulation, Integration and Risk in Emerging Economies of Latin America and East Asia -A Multivariate GARCH in Mean Approach
| Autor: | Chia-Ju Li, 李家如 |
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| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 In recent years, due to the opening of emerging markets, there are more and more choices in the investment. The high investment return in the emerging market has attracted a lot of investors. However, how to select a profitable investment target is very important in so many emerging markets, for example, Asia, Latin America, Europe and Africa. After the liberalization of emerging markets, the flow of capital also becomes easier and the relative investment risk increases. The markets integration condition and risk price before and after the liberalization of the market are the main research topics of this theis. In this study, International capital asset pricing model (ICAPM) of Tai (2007) and International CAPM model added with exchange rate risk factor are used. Hardouvelis et al. (2006) use two stages Multivariate GARCH-in-Mean model to estimate the markets integration and cost of capital for each America and Asia emerging market. It can be seen from the result that before the liberation of the market, A Latin America market, Chili market are completely integration with the world market but Argentina, Brazil, and Mexico and Asia markets have no evidence of full integration. Besides, in the cost of capital, all the countries show reduced the capital cost after market liberalization. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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