Proceedings of World Business and Social Science Research Conference
25-25 October, 2013, Novotel Bangkok on Siam Square, Bangkok, Thailand, ISBN: 978-1-922069-33-7
Stock Market Integration: Are Risk Premiums of International
Assets Equal?
Kusdhianto Setiawan
This paper studies previous researches 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 disregards those two factors, we found that stock markets
were integrated and law of one price on risk premium prevails. However, when
the factors were considered, the markets were just partially integrated.
JEL Codes: G11, G12, G15
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1
Faculty of Economics and Business, Universitas Gadjah Mada, Jl. Sosio Humaniora 1, Bulaksumur,
Yogyakarta 55281, Indonesia, E-mail: kusdhianto@feb.ugm.ac.id