Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI
AbstractIn this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the dynamics of conditional second moments and determinates the contribution of each risk factor in establishing the total premium. The model is estimated for the period March 1996-June 2008, simultaneously for five markets: the world market and four emerging markets. Our results support the partial segmentation of the market studied. In fact, local risk factors contribute significantly in explaining stock market returns.
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Bibliographic InfoPaper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2009-45.
Length: 27 pages
Date of creation: 2009
Date of revision:
International asset pricing; equity risk premium; financial integration; Emerging Markets; Asymmetric Multivariate GARCH.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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