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hal.structure.identifierEconomiX
hal.structure.identifier
hal.structure.identifier
hal.structure.identifier
hal.structure.identifier
dc.contributor.authorCreti, Anna
hal.structure.identifierIPAG Paris
hal.structure.identifier
dc.contributor.authorGuesmi, Khaled
dc.date.accessioned2017-01-17T15:21:57Z
dc.date.available2017-01-17T15:21:57Z
dc.date.issued2015
dc.identifier.issn2101-9304
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16180
dc.language.isoenen
dc.subjectOPEC Countriesen
dc.subjectTime-Varying Integrationen
dc.subjectICAPMen
dc.subjectRisk Premiumen
dc.subjectDCC-GJR-GARCHen
dc.subject.ddc337en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelF.F3.F36en
dc.subject.classificationjelC.C3.C32en
dc.titleInternational CAPM and Oil Price: Evidence from Selected OPEC Countriesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis study explores the major driving forces of stock market integration in the four major OPEC oil-exporting countries, namely Venezuela, United Arab Emirates, Saudi Arabia and Kuwait, over the period Au-gust 31, 2000 to June 31, 2012. Stock market integration factors are categorized into 3 groups: macroeconomic characteristics, oil price and return on the world market portfolio. We measure market integration based on a conditional version of the International Capital Asset Pricing Model (ICAPM). Our study differs from past ones in that we investigate the integration of stock market into the world market, using oil price as a common source of risk, in addition to world and domestic sources of risk. Our results show that oil-exporting countries seem to be still significantly segmented from the global market. Their integration degree varies widely through time over the period August 2000 to June 2012 and increases during crisis periods, in particular as from the end of 2009. Oil risk represents a small part of the global risk in all the countries. Venezuela exhibits some peculiarities: market openness drives integration; moreover, dynamic correlations of the stock market with respect to the world market and oil price are quite weak or not significant, as local risks predominate.en
dc.relation.isversionofjnlnameBankers, Markets & Investors
dc.relation.isversionofjnlissue136-137en
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages64-78en
dc.relation.isversionofjnlpublisherGroupe Banqueen
dc.subject.ddclabelEconomie internationaleen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2016-12-05T10:39:29Z
hal.identifierhal-01438377*
hal.version1*
hal.author.functionaut
hal.author.functionaut


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