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1. Emerging countries stock markets: An analysis using an extension of the three-factor CAPM................... 1
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Emerging countries stock markets: An analysis using an extension of the three-factor CAPM
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Resumen: The stock markets of India and South Korea became partially liberalized in 1992. Has this
liberalization led to stock market efficiency? The overall goal of this paper is to test if the stock markets in these
two countries have become truly informationally efficient in the Fama sense. A subordinate goal is to see if the
patterns of returns seen in the US and what the theory suggests should be, is seen in the stock markets of
South Korea and India. In order to meet these goals we use an extended version of the Fama and French three-
factor CAPM. The Fama and French model has three factors to price the common risks associated with
common stocks. The three risks which these factors price are the market risk, the common risk associated with
the market capitalization of the firms, and the common risk associated with the Book Value to Market Value ratio
of the firm. Our model introduces a fourth factor, which capture the risk associated with the time-varying
conditional variance of the stock returns. We introduce this fourth factor because there is growing evidence that
the stock returns typically exhibit phases of relative tranquillity followed by periods of high volatility. The results
show that the stock market in South Korea was informationally efficient but the stock market in India was not.
The results were mixed as far as patterns of returns were concerned for both South Korea and India; that is,
some of the patterns of returns were what the theory suggested while some were not.
Materia: Finance; Economics; Emerging markets; Analysis; Securities markets; CAPM; Studies;
Clasificacin: 0508: Finance; 0501: Economics
Identificador / palabra clave: Social sciences, Emerging countries, Stock markets, Three-factor capital asset
pricing model, Korea, India
Ttulo: Emerging countries stock markets: An analysis using an extension of the three-factor CAPM
Autor: D'Souza, Mario Innocent
Ttulo de publicacin: ProQuest Dissertations and Theses
Pginas: 158 p.
Nmero de pginas: 158
Ao de publicacin: 2002
Fecha de publicacin: 2002
Ao: 2002
Seccin: 0072
Editorial: ProQuest, UMI Dissertations Publishing
Lugar de publicacin: Ann Arbor
Pas de publicacin: United States
ISBN: 0493502254, 9780493502250
Tutor: Vinod, H
Institucin: Fordham University
Lugar de la institucin: United States -- New York
31 May 2014 Page 1 of 2 ProQuest
Ttulo universitario: Ph.D.
Tipo de fuente: Dissertations & Theses
Idioma de la publicacin: English; EN
Tipo de documento: Dissertation/Thesis
Nmero de publicacin/pedido: 3037214
ID del documento de ProQuest: 305593929
URL del documento: http://search.proquest.com/docview/305593929?accountid=28391
Copyright: Copyright UMI - Dissertations Publishing 2002
ltima actualizacin: 2014-01-14
Base de datos: ProQuest Central
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