Exposure to the world and trading-bloc risks: A multivariate capital asset pricing model
AbstractThis paper employs a capital asset pricing model that incorporates both world and trading-bloc factors to show that the recent trend of trade regionalism has led to segmentation of world stock markets. The model is developed within a multivariate GARCH framework. The conditional time-varying betas are derived to examine the dynamics of risk exposures to the world and trading-bloc factors. The results show risk exposure behaviour that is not revealed using static risk estimates.
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Bibliographic InfoArticle provided by Elsevier in its journal Research in International Business and Finance.
Volume (Year): 24 (2010)
Issue (Month): 2 (June)
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Multivariate GARCH Regionalism Systematic risks Time-varying beta;
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