Tests of Mean-Variance Efficiency of International Equity Markets
AbstractThe authors develop tests for mean-variance efficiency of international equity markets for ten OPEC countries. A Wald test that allows for time-varying variances of excess returns rejects a version of mean-variance efficiency. The source of the rejection is not entirely clear, so the authors use a minimum distance estimator to estimate the mean-variance efficiency model. While they formally reject the mean-variance efficiency constraints in this model, the estimated constrained asset demand equations are revealing. Copyright 1993 by Royal Economic Society.
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Bibliographic InfoArticle provided by Oxford University Press in its journal Oxford Economic Papers.
Volume (Year): 45 (1993)
Issue (Month): 3 (July)
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Other versions of this item:
- Charles M. Engel & Anthony P. Rodrigues, 1992. "Tests of mean-variance efficiency of international equity markets," Research Paper 9209, Federal Reserve Bank of New York.
- Charles Engel & Anthony Rodrigues, 1990. "Tests of mean-variance efficiency of international equity markets," Research Working Paper 90-05, Federal Reserve Bank of Kansas City.
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- Stephen Hall & Anna Zelweska-Mitura, . "Modelling Emerging Financial Markets and their Approach to Market Efficiency," Computing in Economics and Finance 1996 _066, Society for Computational Economics.
- Jeffrey A. Frankel, 1994.
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- Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1993.
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NBER Working Papers
4294, National Bureau of Economic Research, Inc.
- Charles Engel, Jeffrey A. Frankel, Kenneth A. Froot, and Anthony Rodrigues., 1990. "The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market," Economics Working Papers 90-134, University of California at Berkeley.
- Engel, Charles & Frankel, Jeffrey A. & Froot, Kenneth A. & Rodrigues, Anthony, 1990. "The Constrainted Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market," Department of Economics, Working Paper Series qt3xh3d7xn, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Linda L. Tesar & Ingrid M. Werner, 1994.
"International Equity Transactions and U.S. Portfolio Choice,"
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4611, National Bureau of Economic Research, Inc.
- Linda L. Tesar & Ingrid M. Werner, 1994. "International Equity Transactions and U.S. Portfolio Choice," NBER Chapters, in: The Internationalization of Equity Markets, pages 185-227 National Bureau of Economic Research, Inc.
- Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
- Thomas J. Flavin & Michele G. Limosani, 1998. "Fiscal Policy and the Term Premium in Real Interest Rate Differentials," Economics, Finance and Accounting Department Working Paper Series n830498, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
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