Pacific Basin Stock Markets and International Capital Asset Pricing Model - 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 ...
| Year of publication: |
2000
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|---|---|
| Authors: | Jan, Yin-Ching ; Chou, Peter Shyan-Rong ; Hung, Mao-Wei |
| Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 11172435. - Vol. 11.2000, 1-2, p. 1-16
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