|
The traditional international asset pricing is the extension of
CAPM. It considered how the asset price is affected by the the
degree of international capital market. However, the model
did not take intertemporal consumption into account, so
interest rate is an exogenous variable. Besides, noise trader,
the people acted as if they had information, do exist in the
capital market. The thesis based on intertemporal model
analyzed the influence of noise trader in the international
capital market, including asset demand, price, interest
rate, asset return, intertemporal consumption and welfare.
There are two assumptions in the two-country model. Model
1(chap 3) assumed that the restricted investor is noise trader
in the mild-segmentation market. However, model 2 assumed that
noise trader is free investor. The results show that the
misperception of noise trader will affect all the economic
variables. Finally, the thesis assumed that the misperception
of noise trader followed the normal distribution and
analyzed the influence of noise trader variance. By doing
so, we can find the discount of asset price because of the
noise trader variance in different degree of capital market
integration.
|