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 InfoPaper provided by Federal Reserve Bank of New York in its series Research Paper with number 9209.
Date of creation: 1992
Date of revision:
Other versions of this item:
- Engel, Charles M & Rodrigues, Anthony P, 1993. "Tests of Mean-Variance Efficiency of International Equity Markets," Oxford Economic Papers, Oxford University Press, vol. 45(3), pages 403-21, July.
- 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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- 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.
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