Capital flow controls, international asset pricing, and investors' welfare: a multi-country framework

Article Abstract:

This paper investigates the impact of capital flow restrictions on the pricing of securities, on the optimal portfolio composition for investors of different nationalities, and on their welfare. Under capital flow controls, the equilibrium price of a security is determined jointly by its international and national risk premiums, and investors acquire nationality-specific portfolios along with a market-wide proxy for the world market portfolio. Removal of investment barriers generally leads to an increase in the aggregate market value of the affected securities, and all investors favor a move toward market integration. Introduction of different types of index funds in the world market generally increases world market integration and investor welfare. (Reprinted by permission of the publisher.)

Analysis, Prices and rates, Securities, Securities prices, Capital assets, Financial research

---

International asset pricing under mild segmentation: theory and test

Article Abstract:

A theoretical and empirical investigation of the pricing and portfolio implications of investment barriers relating to international capital markets is presented. The existence of what are called super risk premiums for a subset of securities and a breakdown of the standard separation are results of the market structure defined, called 'mildly segmented'. An extended database with LDC markets is used in the study, and tentative support for the mild segmentation hypothesis is provided by the research.

Models, International aspects, Testing, Investments, International economic relations, Mathematical models, International finance

---

Tests of integration, mild segmentation and segmentation hypotheses

Article Abstract:

Eight emerging markets are tested for complete integration, mild segmentation and complete segmentation for a group of securities based on an international asset pricing model using the maximum likelihood estimation procedure. The empirical evidence regarding the structure of world capital marhets strongly indicate a leaning of the markets towards a nonpolar streucture. This implies that the world market is neither fully integrated nor completely segmented.

Economic aspects, Market segmentation

Similar abstracts:

• Abstracts: Production-based asset pricing and the link between stock returns and economic fluctuations
• Abstracts: Exploiting international stock market correlations with open-end international mutual funds. A note on fair value pricing of mutual funds
• Abstracts: Managing interacting accounting measures to meet multiple objectives: a study of LIFO firms. Empirical tax research in accounting
• Abstracts: Corporate control, portfolio choice, and the decline of banking. Do depositors punish banks for bad behavior? Market discipline, deposit insurance, and banking crises
• Abstracts: Exchange rate uncertainty, forward contracts, and international portfolio selection. Estimating the correlation structure of international share prices

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.