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Differences in the price of risk and the resulting response to shocks: an analysis of Asian markets

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  • Soydemir, Gokce A.

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  • Soydemir, Gokce A., 2005. "Differences in the price of risk and the resulting response to shocks: an analysis of Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 285-313, October.
    • Handle: RePEc:eee:intfin:v:15:y:2005:i:4:p:285-313
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    8. Eric Ghysels, 1998. "On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt?," Journal of Finance, American Finance Association, vol. 53(2), pages 549-573, April.
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    Cited by:

    1. Ané, Thierry & Ureche-Rangau, Loredana & Gambet, Jean-Benoît & Bouverot, Julien, 2008. "Robust outlier detection for Asia-Pacific stock index returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 326-343, October.
    2. Md Isa, Abu Hassan & Puah, Chin-Hong & Yong, Ying-Kiu, 2008. "Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM," MPRA Paper 12355, University Library of Munich, Germany.
    3. Verma, Rahul & Soydemir, Gökçe, 2009. "The impact of individual and institutional investor sentiment on the market price of risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1129-1145, August.
    4. Atakan Yalcýn & Nuri Ersahin, 2010. "Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange," Koç University-TUSIAD Economic Research Forum Working Papers 1025, Koc University-TUSIAD Economic Research Forum.

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