現代投資組合理論提出在發展中以及已開發國家之國際多元化投資組合對其績效有著正面的影響。當資金在國外市場被交易或是定價的同時，需要考慮資金市場的組合性或是分散性。本研究探討南非、美國以及全國市場之潛在組合；由於過去幾年南非市場蓬勃發展，並已逐漸影響全世界的資金市場，所以將開發中國家和已開發國家的市場之整合作為本研究探討之議題所在。

本研究利用條件式(conditional)國際資產定價模型探討於南非股票市場是否考量國際和區域市場風險以及貨幣風險。本資料是以2002年2月至2010年3月的月資料所構成。本研究以美國投資者觀點為出發點，衡量美國以及南非指標的報酬率，並以美金作為衡量的標準。此外，此評估模式為使用改量後之多元化GARCH-M模型，風險的定價方式為定值，並允許在分析的市場中擁有條件式的變異以及共變異數。

本研究指出南非以及美國市場存在非條件式(unconditional)之全球化風險，但是缺乏區域性的風險，此結論和過去的理論及研究呈現一致性；再者，貨幣風險亦存在於南非與美國市場中。由此可見，美國投資者似乎較不關心區域性的風險；然而如果他們投資南非的市場，較會考量貨幣的風險。一旦投資組合管理者期望將投資報酬和風險之間的關係最佳化，至少以本研究所指出之南非市場為例，當投資者需要衡量最佳化關鍵的因素時，貨幣風險需要納入考量。

Modern portfolio theory suggests that the international diversification of portfolio of emerging market and developed market has a positive effect on its performance. When assets are traded and priced in foreign markets, the integration or segregation of the capital markets must be taken into consideration. In the current thesis, I study the potential integration of South Africa and U.S markets with the world market. The emerging markets of South Africa have enjoyed remarkably rapid economic growth in the past decades and are gaining increased influence in the world capital markets. Therefore, the integration of these markets with developed markets deserves closer attention.

This thesis investigate whether global and local market risks as well as the currency risk are priced in the South African stock market using conditional international asset pricing models. The observation consists of monthly data from February 2002 to March 2010. This study takes the view of US investors and measures all returns of the US and South Africa indices in US dollars. The estimation is conducted using a modified version of the multivariate GARCH-M framework with constant prices of risk specification. The approach allows for conditional variance and covariance processes between analyzed markets.

The results show that the unconditional price of world risk is positive and significant with reasonable values, which is in line with the theory and earlier studies. However, local risks are not priced both in the South African as well as the US market. Finally, the currency risk is priced in the South African stock market. In other words, US investors seem not to put a lot of concern about what happens in the local market except for the currency risk when investing in South Africa. When portfolio managers aim to optimize the return–risk relationship, the results indicate that at least in the case of South Africa, one should account for the currency risk when calculating the key inputs for the optimization.

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