Analysis of international stock prices, portfolios, and asset pricing

The purpose of this dissertation is to empirically study cross-nation variation of stock prices and various international multivariable asset pricing models. The result of this research provides the evidence about the integration of global financial market and effectiveness of pricing exposures in different countries.; Data of 4,916 individual company stock prices from 37 countries were utilized with the application of nonparametric Mann-Whitney test to examine the cross-national difference of stock price performance, risk, international correlation and co-movement of domestic stock prices. Due to the lower liquidity and less mature legal system, the stock prices in developing countries, in general, are less mean-variance efficient than those in developed countries during the sample period from 1992:01 to 2003:06. The stock price risks, measured by unconditional global beta and conditional volatility specified by GARCH(1,1) process, generally are lower in developed countries. The analysis of global correlations of stock prices suggests that the international integration in many countries is gradually increasing during the sample period, especially in emerging markets. The equity prices in developing countries have higher tendency to move in the same direction than the developed countries, particularly in bearish markets.; The empirical results using the data of MSCI national indices with sample period from 1988:01--2000:12 agrees with the testing conclusion regarding the relative magnitude of equity performance and risk across countries by utilizing firm-level data. The efficient frontier analysis using national indices suggests that including more markets into the global portfolio will enhance mean-variance efficiency. The impact of constraint on weights among the markets to the Sharpe index and Treynor index of optimal portfolio of G-7 is smaller than the one of all countries.; The test of international multi-factor models suggests that the global market portfolio risk and the currency deposit risk are the most relevant pricing exposures across countries. The conditional risk of exchange rate is not statistically significant in pricing equities in many countries. In addition, dividend yield, pricelearning ratio, and inflationary rate of price level are of explanatory power to stock price in some nations.