INTEGRASI PASARAN-PASARAN SAHAM DI RANTAU APEC: SATU KAJIAN EMPIRIKAL

This paper investigates the process of asset pricing in stock markets of APEC countries while considering the impact of trading-bloc factor. Among the main findings were; firstly, the trading-bloc factor is significant and increases the explanatory power of the international asset pricing model; secondly, using APEC as a platform, we documented evidence that emerging markets are more sensitive to the trading-bloc factor, while integration towards the world market is more significant for developed markets and; thirdly, less significant cross-bloc pricing were found. In general, our research offers a possible explanation to why emerging stock markets is generally segmented from the world market. We found significant evidence that they are more integrated with their trading bloc members.