Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
n this study, we examine the level of stock market integration and the impact of sovereign risk on the pricing of … for partial market integration in which sovereign risk is proxied by the sovereign yield spread computed relative to a … common benchmark that is Germany. We find that domestic stock market risk is still significant after the introduction of the …