Financial Integration and Market (In)Efficiency in International Capital Markets

国际资本市场的金融一体化和市场效率

• 批准号: 433352673
• 负责人: Professor Dr. Fabian Hollstein
• 金额: --
• 依托单位: Institut für Banken und Finanzierung
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2019
• 资助国家: 德国
• 起止时间: 2018-12-31 至 2021-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/433352673?language=en
• 关键词: Financial; Integration; Market; Efficiency; International

With this project, I examine the degree to which international capital markets are efficient and financially integrated into a world capital market. Furthermore, I seek an integrated view on asset pricing factor models across different asset classes. In the project, I test for inefficiencies in two dimensions. In the first subproject, a large set of anomaly variables, documented thus far primarily for the U.S. capital market, is examined. The main goal of this part is to test whether these anomalies are pervasive across international capital markets. Having documented whether these anomalies exist, an important question relates to whether they can be explained by factor models, and, thus, be interpreted as systematic risk, or whether these constitute market inefficiencies. To examine this, I use numerous different unconditional and conditional factor models. In a second subproject, I aim to provide a more direct test on to what degree behavioral biases of investors distort asset prices in international capital markets. For doing so, a behavioral bias score variable, based on measures that capture probability-weighting behavior, will be introduced. After testing whether this behavioral score as well as its components is/are priced in international capital markets, I test which country characteristics or legal environments amplify or dampen the effect of behavioral biases on asset prices in international markets. In a third subproject, I test to what degree international markets are integrated in the regional or world markets. To analyze this question, I test whether regional and global factor models can span their local counterparts. Furthermore, it will be examined whether local, regional, or global factor models perform better in explaining different capital market anomalies. I further study the determinants of financial integration by regressing the local factor alphas on different country characteristics. In a final subproject, I examine asset-pricing factors across different asset classes. The goal is to test to what degree asset-pricing models from one class (e.g., bonds) can price portfolios of other asset classes (e.g., commodities, options, stocks). Finally, I aim to develop an optimal asset-pricing model with factors possibly derived from all asset classes.

通过这个项目，我研究了国际资本市场的效率以及在金融上融入世界资本市场的程度。此外，我寻求对不同资产类别的资产定价因素模型的综合看法。在该项目中，我测试了二维的低效率。在第一个子项目中，检查了迄今为止主要针对美国资本市场记录的大量异常变量。这部分的主要目标是测试这些异常现象是否普遍存在于国际资本市场中。在记录了这些异常是否存在之后，一个重要的问题涉及它们是否可以通过因子模型来解释，从而被解释为系统性风险，或者是否构成市场效率低下。为了检验这一点，我使用了许多不同的无条件和条件因素模型。在第二个子项目中，我的目标是提供更直接的测试，以了解投资者的行为偏差在多大程度上扭曲了国际资本市场的资产价格。为此，将引入基于捕获概率加权行为的度量的行为偏差得分变量。在测试了该行为评分及其组成部分是否在国际资本市场上定价后，我测试了哪些国家特征或法律环境会放大或减弱行为偏差对国际市场资产价格的影响。在第三个子项目中，我测试了国际市场在区域或世界市场中的整合程度。为了分析这个问题，我测试了区域和全球因素模型是否可以跨越当地的对应模型。此外，还将研究本地、区域或全球因素模型在解释不同资本市场异常方面是否表现更好。我通过对不同国家特征的当地因素阿尔法进行回归来进一步研究金融一体化的决定因素。在最终的子项目中，我研究了不同资产类别的资产定价因素。目标是测试一类资产（例如债券）的资产定价模型可以在多大程度上对其他资产类别（例如商品、期权、股票）的投资组合进行定价。最后，我的目标是开发一个最优的资产定价模型，其中的因素可能来自所有资产类别。