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

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.

Grantor dc:publisher.institution

University of Bradford

Year dc:date.issued

2010

Author dc:creator

• Al-Saiaari, Mohsen N.K.

Advisor dc:contributor.advisor

• Wheeler, Frederick

• Stock market
• Risk factors
• APT framework
• Investors
• Multivariate estimation

Statement dc:rights

• <a rel="license" href="http://creativecommons.org/licenses/by-nc-nd/3.0/"><img alt="Creative Commons License" style="border-width:0" src="http://i.creativecommons.org/l/by-nc-nd/3.0/88x31.png" /></a><br />The University of Bradford theses are licenced under a <a rel="license" href="http://creativecommons.org/licenses/by-nc-nd/3.0/">Creative Commons Licence</a>.

Language dc:language.iso

en

Handle dc:identifier.uri

http://hdl.handle.net/10454/4215

OAI identifier oai:identifier

oai:bradscholars.brad.ac.uk:10454/4215