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Emerging Stock Markets and International Asset Pricing
1995
World Bank Economic Review
This article investigates whether emerging stock markets are now part of the global financial market and characterizes return behavior in these markets. Tests of the conditional International Capital Asset Pricing Model (ICAPM) reveal that eighteen of the twenty largest emerging markets were integrated with the world market between December 1984 and December 1991, but that many of the same markets reject the model when data for 1977-84 are used. These results suggest that large capital inflows
doi:10.1093/wber/9.1.51
fatcat:ibc2qucb7rcwfcd3wqql3ijovi