Sharma, Gagan; Sehgal, Sanjay; Mishra, Anil V. - In: Cogent economics & finance 10 (2022) 1, pp. 1-51
We examine prominent market anomalies and evaluate the efficacy of alternative asset pricing models under different financial integration settings. A financial integration index is developed for classifying 25 sample markets into high-, medium- and low integration groups. Size is found to be the...
