Os Benefícios da Diversificação Internacional da Integração dos Mercados de Capitais no Contexto de uma Estrutura Multilateral dos Retornos

• Autor(a) principal: Vieira, Raul Manuel da Costa
• Data de Publicação: 2007
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10216/7605
• topic: CIÊNCIAS EMPRESARIAIS; Porto

We assess the benefits to investors resulting from the integration of international capital markets, using an international asset pricing model that assumes mild segmentation and captures the multilateral structure of market returns. We test a GARCH-M parameterization for a sample composed of eight emerging markets over the period 1976-2005. The evidence strongly suggests that in these markets there was a significant increase in the degree of integration in the mid 90 s. By then all countries had already started their liberalization processes. The welfare effects of international diversification are measured by the change in the certainty equivalent wealth of an exponential utility function. We conclude that, by the end of the period analysed, investors had reaped most of the benefits from international diversification.