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Tests of mean-variance efficiency of international equity markets

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Author Info

  • Charles M. Engel
  • Anthony P. Rodrigues

Abstract

The 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 Info

Paper provided by Federal Reserve Bank of New York in its series Research Paper with number 9209.

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Date of creation: 1992
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Handle: RePEc:fip:fednrp:9209

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Keywords: International finance ; Stock market;

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Cited by:
  1. Linda L. Tesar & Ingrid M. Werner, 1994. "International Equity Transactions and U.S. Portfolio Choice," NBER Working Papers 4611, National Bureau of Economic Research, Inc.
  2. 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.
  3. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1993. "The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market," NBER Working Papers 4294, National Bureau of Economic Research, Inc.
  4. 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.
  5. Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Books, National Bureau of Economic Research, Inc, number fran94-1, October.
  6. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.

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