PİYASA BÜYÜKLÜĞÜ VE SERMAYE PİYASALARININ SEGMENTASYONU KONUSU

This paper examines empirically the role of market size on capital market segmentation. A sample of European capital markets is employed and the hypothesis that the assets are priced according to their European risk contents is tested. Evidence supports that the systematic risk vis-a-vis a single index European capital asset pricing model (CAPM) is not priced for the securities traded in small size European capital markets even though capital controls are absent. The rationale seems to be that the domestic investors of small markets can diversify away all or most of local systematic risk which becomes idiosyncratic in Europe-wide risk diversification.

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