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Akdogan's study uses asset-pricing theories to test the status of international capital market integration. His approach differs from some other studies of integration by being based entirely upon financial theory rather than the pure theory of international trade, and by developing several different empirical models of capital market integration. The models are tested using the modern capital asset-pricing approach and draw on data taken from 26 different stock markets. Annotation copyright Book News, Inc. Portland, Or.

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CONTENTS
List of tables = ⅸ
Preface = xi
Abbreviations = xiii
PART Ⅰ STATISTICS AND INSTITUTIONS
 1. Introduction = 3
  Definition = 3
  Trade integration and economic theory = 4
  Plan and organization of the book = 4
 2. World capital markets : statistics and institutions = 6
  Capital makets = 6
  Further descriptive statistics = 12
  Recent growth in financial derivatives and securitization = 17
   Futures contracts = 18
   Options contracts = 21
   Swaps markets = 21
  The emerging financial system and baking = 23
  Appendix : Basic statistics and time-series behaviour of movements in country and regional share indices = 26
 3 The integration of capital markets : an institutional introduction = 47
  Financial networks = 47
  Financial deregulation = 47
  Financial regulation and the European Monetary System = 49
   The exchange rate mechanism (ERM) = 49
   European monetary institutions = 51
   The future of the EMS = 53
  Macroeconomic aspects of monetary integration in the European union = 55
 4 Non-asset-pricing models of integration = 58
  Interest rate differentials = 58
  Co-movements in stock prices = 61
  Why is integration desirable? = 62
   The argument of economic efficiency = 63
   The argument of risk diversification = 63
   The capital budgeting argument = 64
PART Ⅱ THE FINANCIAL THEORY OF INTEGRATION
 5 Asset-pricing models = 69
  The capital market theory = 69
   Systematic and unsystematic risk = 69
   The characteristic line = 69
   Assumptions of capital market theory = 71
  The capital asset-pricing model = 71
   The capital market line = 72
   The security market line or CAPM = 73
  Extensions of CAPM and empirical tests = 75
   Lintner's work = 75
   Mossin's general equilibrium approach = 75
   Brennan's inclusion of tax effects = 75
   Zero-beta CAPM = 76
   Continuous-time CAPM = 76
   Fama-MacBeth approach = 77
   Other extensions and tests of CAPM = 78
  Appendix : The concept of equilibrium = 79
 6 international asset-pricing and the financial theory of integration = 82
  International risk diversification = 82
  Non-asset-pricing models of integration = 83
   Correlation coefficients = 83
   Interest rate parity = 83
  The capital asset-pricing model of integration = 84
   The literature = 84
   Critiques of international CAPM = 91
 7 The arbitrage pricing theory of integration = 94
  Introduction = 94
  What is arbitrage pricing theory? = 94
  Empirical tests of arbitrage pricing = 95
  The international arbitrage pricing model of integration = 96
   A comparison of IAPT and ICAPM = 97
  Macroeconomic risk diversification and the IAPT = 98
   Chen's analysis of macroeconomic factors = 98
   The Bayesian approach to the IAPT = 99
 8 The role of controls in integration = 101
  Capital controls and the issue of integration = 101
   Restrictions on capital and segmentation = 101
   Types of market imperfection = 102
   Pinpointing the sources of segmentation = 104
  Tests and econometric problems = 105
   Tests = 105
   Roll's critique once again = 106
   Suggested solutions to econometric problems = 107
PART Ⅲ EMPIRICAL TESTS
 9 The integration of European capital markets : an institutional review = 111
  An overview of European capital markets = 111
  The history of financial integration in the European Union = 112
   Early years = 112
   Changing attitudes and the Single European Act = 114
   Remaining obstacles = 116
 10 An empirical model and test for European Union integration = 119
  Introduction and literature review = 119
  Empirical problems = 120
  A capital asset-pricing model = 121
   The methodology = 122
   Data = 123
   Problem specification = 126
   Test results = 131
  An alternative approach = 133
 11 A multifactor model = 145
  Single-index versus multifactor = 145
  Data = 146
  Alternative models = 146
   Single-index alternatives = 147
   Multifactor alternatives = 148
   Orthogonalizing the market portfolio = 149
 12 Market size and the issue of segmentation = 155
  Introduction = 155
  Test methodology = 156
  Test results = 157
  Chapter summary = 160
 13 Geographical asset - pricing = 161
  Regional integration = 161
  Geographical asset-pricing = 161
   Hypothesis development = 162
   Data and preliminary analysis = 162
  Model specification = 167
   An international CAPM for country index portfolios = 167
   A geographical CAPM for country index portfolios = 167
   Empirical test = 168
  Test results = 169
  Chapter summary = 173
 14 Summary and conclusions = 174
References = 178
Index = 185