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dc.contributor.advisorWheeler, Frederick
dc.contributor.authorAl-Saiaari, Mohsen N.K.*
dc.date.accessioned2010-02-08T15:48:09Z
dc.date.available2010-02-08T15:48:09Z
dc.date.issued2010-02-08T15:48:09Z
dc.identifier.urihttp://hdl.handle.net/10454/4215
dc.description.abstractThis 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.en
dc.description.sponsorshipUnited Arab Emirates Universityen
dc.language.isoenen
dc.rights© 1991 Al-Saiaari, M. N. K. This work is licensed under a Creative Commons Attribution-Non-Commercial-Share-Alike License (http://creativecommons.org/licenses/by-nc-nd/2.0/uk).en
dc.subjectStock marketen
dc.subjectRisk factorsen
dc.subjectAPT frameworken
dc.subjectInvestorsen
dc.subjectMultivariate estimationen
dc.titleInternal stock market returns and systematic risk factors. An empirical investigation into the APT using macroeconomic factors and multivariate estimationen
dc.type.qualificationleveldoctoralen
dc.publisher.institutionUniversity of Bradfordeng
dc.publisher.departmentThe Management Centreen
dc.typeThesiseng
dc.type.qualificationnamePhDen
dc.date.awarded1991
refterms.dateFOA2018-10-24T01:11:49Z


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