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In this paper, we test a partially segmented ICAPM for two developed markets,two emerging markets and World market, using an asymmetric extension of themultivariate GARCH process of De Santis and Gerard (1997,1998). We find thatthis asymmetric process provides a significantly better fit of the data than astandard symmetric process. The evidence obtained from the whole period andsub-periods analysis supports the financial integration hypothesis and suggeststhat domestic risk is not a priced factor.

Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects