Access the full text.
Sign up today, get DeepDyve free for 14 days.
E. Fama, James MacBeth (1973)
Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 81
Simon Wheatley (1988)
Some tests of international equity integrationJournal of Financial Economics, 21
D. Cho, Cheol Eun, Lemma Senbet (1986)
International Arbitrage Pricing Theory: An Empirical InvestigationJournal of Finance, 41
N. Chen, Richard Roll, S. Ross (1986)
Economic Forces and the Stock MarketThe Journal of Business, 59
Takatoshi Ito (1983)
CAPITAL CONTROLS AND COVERED INTEREST PARITY BETWEEN THE YEN AND THE DOLLARThe Economic studies quarterly, 37
Bruno Solnik (1977)
TESTING INTERNATIONAL ASSET PRICING: SOME PESSIMISTIC VIEWSJournal of Finance, 32
M. Adler, B. Dumas (1983)
International Portfolio Choice and Corporation Finance: A SynthesisJournal of Finance, 38
Robert Korajczyk, C. Viallet (1989)
An Empirical Investigation of International Asset PricingEconometrics: Applied Econometric Modeling in Financial Economics eJournal
Jay Shanken (1985)
Multivariate tests of the zero-beta CAPMJournal of Financial Economics, 14
Yasushi Hamao (1988)
An empirical examination of the Arbitrage Pricing Theory: Using Japanese dataJapan and the World Economy, 1
Bruno Solnik (1983)
International Arbitrage Pricing TheoryJournal of Finance, 38
G. Alexander, Cheol Eun, S. Janakiramanan (1988)
International Listings and Stock Returns: Some Empirical EvidenceJournal of Financial and Quantitative Analysis, 23
R. Stulz (1981)
A model of international asset pricingJournal of Financial Economics, 9
M. Jensen, F. Black, Myron Scholes (2006)
The Capital Asset Pricing Model: Some Empirical TestsCapital Markets: Asset Pricing & Valuation
René Stulz (1981)
On the Effects of Barriers to International InvestmentJournal of Finance, 36
Frederick Grauer, R. Litzenberger, R. Stehle (1976)
Sharing rules and equilibrium in an international capital market under uncertaintyJournal of Financial Economics, 3
H. Theil (1971)
Principles of econometrics
R. Ibbotson, R. Carr, A. Robinson (1982)
International Equity and Bond ReturnsFinancial Analysts Journal, 38
Charles Pigott (1983)
Financial reform in JapanEconometric Reviews
Otani Otani, Siddharth Siddharth (1981)
Capital controls and interest rate parity: The Japanese experience, 1978–81IMF Staff Papers, 28
Cheol Eun, S. Janakiramanan (1986)
A Model of International Asset Pricing with a Constraint on the Foreign Equity OwnershipJournal of Finance, 41
Phoebus, J., Dhrymes, I. Friend, N. Gultekin (1984)
A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing TheoryJournal of Finance, 39
Solnik Solnik (1974b)
The international pricing of risk: An empirical investigation of the world capital market structureJournal of Finance, 29
Philippe Jorion, Eduardo Schwartz (1986)
Integration vs. Segmentation in the Canadian Stock MarketJournal of Finance, 41
R. Stehle (1977)
AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETSJournal of Finance, 32
V. Errunza, Etienne Losq (1985)
International Asset Pricing under Mild Segmentation: Theory and TestJournal of Finance, 40
Richard Roll, S. Ross (1980)
An Empirical Investigation of the Arbitrage Pricing TheoryJournal of Finance, 35
Jay Shanken (1987)
Nonsynchronous Data and the Covariance-Factor Structure of ReturnsJournal of Finance, 42
Michael Adler, Bruno Solnik (1974)
Session Topic: Capital Asset Pricing Models in an International Context: THE INTERNATIONAL PRICING OF RISK: AN EMPIRICAL INVESTIGATION OF THE WORLD CAPITAL MARKET STRUCTUREJournal of Finance, 29
G. Alexander, Cheol Eun, S. Janakiramanan (1987)
Asset Pricing and Dual Listing on Foreign Capital Markets: A NoteJournal of Finance, 42
Ibbotson Ibbotson, Richard Richard, Anthony Anthony (1982)
International equity and stock returnsFinancial Analysts Journal, 38
I. Ōtani, Siddhartha Tiwari (1981)
Capital Controls and Interest Rate Parity: The Japanese Experience, 1978-81 (Regulation des capitaux et niveau des taux d'interet: le cas du Japon, 1978-81) (Control de capitales y paridad de los tipos de interes: la experiencia de Japon, 1978-81), 28
Bruno Solnik (1974)
An equilibrium model of the international capital marketJournal of Economic Theory, 8
M. Obstfeld (1986)
How Integrated are World Capital Markets? Some New TestsNBER Working Paper Series
ABSTRACT The paper focuses on two countries, Japan and the U.S., to test the integration of capital markets. In Japan, the enactment of the Foreign Exchange and Foreign Trade Control Law in December of 1980 amounted to a true regime switch that virtually eliminated capital controls. Using multifactor asset pricing models, we show that the price of risk in the U.S. and Japanese stock markets was different before, but not after, the liberalization. This evidence supports the view that governments are the source of international capital market segmentation.
The Journal of Finance – Wiley
Published: Sep 1, 1989
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.