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On market price of risk in Asian capital markets around the Asian flu

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  • Girard, Eric
  • Rahman, Hamid
  • Zaher, Tarek
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 12 (2003)
    Issue (Month): 3 ()
    Pages: 241-265

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    Handle: RePEc:eee:finana:v:12:y:2003:i:3:p:241-265

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    Web page: http://www.elsevier.com/locate/inca/620166

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    References

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    2. Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000. "A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 40(3), pages 337-354.
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    5. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 30(01), pages 101-116, March.
    6. James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
    7. Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.
    8. Turner, C.M. & Startz, R. & Nelson, C.R., 1989. "The Markov Model Of Heteroskedasticity, Risk And Learning In The Stock Market," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington 89-01, Department of Economics at the University of Washington.
    9. Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers, Michigan State - Econometrics and Economic Theory 8803, Michigan State - Econometrics and Economic Theory.
    10. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(1), pages 116-31, February.
    11. Turner, Christopher M. & Startz, Richard & Nelson, Charles R., 1989. "A Markov model of heteroskedasticity, risk, and learning in the stock market," Journal of Financial Economics, Elsevier, Elsevier, vol. 25(1), pages 3-22, November.
    12. John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc.
    13. Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, Elsevier, vol. 9(3), pages 235-245.
    14. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(1), pages 3-29, September.
    15. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    16. Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, Elsevier, vol. 24(2), pages 289-317.
    17. Harvey, Campbell R, 1995. "The Risk Exposure of Emerging Equity Markets," World Bank Economic Review, World Bank Group, World Bank Group, vol. 9(1), pages 19-50, January.
    18. Pindyck, Robert S, 1984. "Risk, Inflation, and the Stock Market," American Economic Review, American Economic Association, American Economic Association, vol. 74(3), pages 335-51, June.
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    20. Li, Yuming, 1998. "Time Variations in Risk Premia, Volatility, and Reward-to-Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 431-46, Winter.
    21. Domowitz, Ian & Glen, Jack & Madhavan, Ananth, 1998. "Country and Currency Risk Premia in an Emerging Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 33(02), pages 189-216, June.
    22. Haugen, Robert A & Talmor, Eli & Torous, Walter N, 1991. " The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 46(3), pages 985-1007, July.
    23. Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, Elsevier, vol. 5(2), pages 69-97, June.
    24. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report, Federal Reserve Bank of Minneapolis 157, Federal Reserve Bank of Minneapolis.
    25. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, Elsevier, vol. 25(4), pages 807-824, April.
    26. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1575-617, December.
    27. John T. Scruggs, 1998. "Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach," Journal of Finance, American Finance Association, American Finance Association, vol. 53(2), pages 575-603, 04.
    28. Chou, Ray Yeutien, 1988. "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 3(4), pages 279-94, October-D.
    29. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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    31. Fletcher, Jonathan, 1997. "An examination of the cross-sectional relationship of beta and return: UK evidence," Journal of Economics and Business, Elsevier, Elsevier, vol. 49(3), pages 211-221.
    32. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 46(1), pages 111-57, March.
    33. Ball, Ray & Kothari, S. P., 1989. "Nonstationary expected returns : Implications for tests of market efficiency and serial correlation in returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 25(1), pages 51-74, November.
    34. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(2), pages 246-73, April.
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    Cited by:
    1. Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(1), pages 1-9, January.
    2. Girard, Eric & Omran, Mohamed, 2007. "What are the risks when investing in thin emerging equity markets: Evidence from the Arab world," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 17(1), pages 102-123, February.

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