Emerging Stock Markets and International Asset Pricing
研究了1984-1991年间20个最大新兴市场是否融入全球金融市场，发现多数市场与国际资本资产定价模型一致，而1977-1984年则不然，表明1980年代末的资本流入推动了这一变化。
This article investigates whether emerging stock markets are now part of the global financial market and characterizes return behavior in these markets. Tests of the conditional International Capital Asset Pricing Model (ICAPM) reveal that eighteen of the twenty largest emerging markets were integrated with the world market between December 1984 and December 1991, but that many of the same markets reject the model when data for 1977-84 are used. These results suggest that large capital inflows from industrial economies, beginning in the late 1980s, caused prices in emerging markets to reflect covariance risk with the world portfolio, thus inducing their consistency with the ICAPM. Copyright 1995 by Oxford University Press.