This paper aims to uncover the role of heterogeneity and spillover effects of return and risk on home bias associated with common background characteristics of trading countries. We adopt a spatial panel model to utilize uniquely created weight matrices and capture the spatial spillover effects...

This paper explores the risk adjusted uncovered equity parity model to investigate a degree of market integration for four Asian emerging markets relative to the U.S., Japan and the U.K. from January 1994 to July 2008. The uncovered equity parity is revised to take into account of market risk in...