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This paper studies previous research on capital market integration and
applies a simple international capital asset pricing model by
considering the incompleteness in market integration and
heteroscedasticity of the market returns. When we disregarded those two
factors, we found that stock markets were integrated and the law of one
price on risk premiums prevails. However, when the factors were
considered, the markets were just partially integrated. [ABSTRACT FROM
AUTHOR]
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Informasi Detil
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Penerbit | Gadjah Mada University : Yogyakarta., January - April 2014 |
Deskripsi Fisik |
p. 39 - 53
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Bahasa | |
ISBN/ISSN |
1411-1128
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