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International stock market returns and systematic risk factors : an empirical investigation into the APT using macroeconomic factors and multivariate estimationAl-Saiaari, Mohsen Naser Khamis January 1991 (has links)
This thesis examines the relationship between stock market returns and systematic risk factors in twelve industrial countries. Using the APT framework, the thesis investigates the notion of international stock market integration versus segmentation in terms of pricing risk, international stock market efficiency in terms of eliminating arbitrage opportunities across domestic markets, and the validity of the international version of the APT according to a model that specifies purely domestic factors. Starting with ordinary least squares estimation the thesis investigates the responses of investors in their national stock markets to systematic shocks. By employing iterative non-linear multivariate seemingly unrelated regression estimation, this work avoids the statistical problems encountered in the second-pass test of the two-stage procedure. This study found that the international stock market was neither integrated nor efficient and that the IAPT was not supported by the results during the period investigated. It was demonstrated that partial and regional integration, regional efficiency, and regional IAPT validity cannot be ruled out. Moreover, the alternative model proved to be practically valid.
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Internal stock market returns and systematic risk factors. An empirical investigation into the APT using macroeconomic factors and multivariate estimationAl-Saiaari, Mohsen N.K. January 1991 (has links)
This thesis examines the relationship between stock market returns and systematic
risk factors in twelve industrial countries. Using the APT framework, the thesis
investigates the notion of international stock market integration versus segmentation
in terms of pricing risk, international stock market efficiency in terms of
eliminating arbitrage opportunities across domestic markets, and the validity of the
international version of the APT according to a model that specifies purely
domestic factors.
Starting with ordinary least squares estimation the thesis investigates the responses
of investors in their national stock markets to systematic shocks. By employing
iterative non-linear multivariate seemingly unrelated regression estimation, this
work avoids the statistical problems encountered in the second-pass test of the
two-stage procedure. This study found that the international stock market was
neither integrated nor efficient and that the IAPT was not supported by the
results during the period investigated. It was demonstrated that partial and regional
integration, regional efficiency, and regional IAPT validity cannot be ruled out.
Moreover, the alternative model proved to be practically valid. / United Arab Emirates University
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