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Pacific Basin stock markets and international capital asset pricing

Jan, Yin-Ching; Chou, Peter Shyan-rong; Hung, Mao-Wei - In: Global finance journal 11 (2000) 1/2, pp. 1-16

Persistent link: https://www.econbiz.de/10001545834

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 ...

Jan, Yin-Ching; Chou, Peter Shyan-Rong; Hung, Mao-Wei - In: Global finance journal 11 (2000) 1-2, pp. 1-16

Persistent link: https://www.econbiz.de/10007673736

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