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    Internal stock market returns and systematic risk factors. An empirical investigation into the APT using macroeconomic factors and multivariate estimation

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    Al-Saiaari.pdf (9.620Mb)
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    Publication date
    2010-02-08T15:48:09Z
    Author
    Al-Saiaari, Mohsen N.K.
    Supervisor
    Wheeler, Frederick
    Keyword
    Stock market
    Risk factors
    APT framework
    Investors
    Multivariate estimation
    Rights
    Creative Commons License
    The University of Bradford theses are licenced under a Creative Commons Licence.
    Institution
    University of Bradford
    Department
    The Management Centre
    Awarded
    1991
    
    Metadata
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    Abstract
    This thesis examines the relationship between stock market returns and systematic risk factors in twelve industrial countries. Using the APT framework, the thesis investigates the notion of international stock market integration versus segmentation in terms of pricing risk, international stock market efficiency in terms of eliminating arbitrage opportunities across domestic markets, and the validity of the international version of the APT according to a model that specifies purely domestic factors. Starting with ordinary least squares estimation the thesis investigates the responses of investors in their national stock markets to systematic shocks. By employing iterative non-linear multivariate seemingly unrelated regression estimation, this work avoids the statistical problems encountered in the second-pass test of the two-stage procedure. This study found that the international stock market was neither integrated nor efficient and that the IAPT was not supported by the results during the period investigated. It was demonstrated that partial and regional integration, regional efficiency, and regional IAPT validity cannot be ruled out. Moreover, the alternative model proved to be practically valid.
    URI
    http://hdl.handle.net/10454/4215
    Type
    Thesis
    Qualification name
    PhD
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    Theses

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