Global and local sources of risk in Eastern European emerging stock markets
AbstractWe study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, Czech Republic, Hungary, Bulgaria, Slovenia and Russia. Most of these markets display considerable segmentation; the aggregate emerging market risk, as opposed to global market risk, is the significant driver for their stock market returns. It also appears that currency risk is priced into stock prices. The difference between local and global interest rates can be used to model the time-variation in the betas for both sources of risk.
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Bibliographic InfoPaper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 27/2008.
Length: 32 pages
Date of creation: 15 Dec 2008
Date of revision:
Note: Fedorova, E. and Vaihekoski, M.: Global and Local Sources of Risk in Eastern European Emerging Stock Markets Published in: Finance a úvér – Czech Journal of Economics and Finance, 2009, vol. 59, no. 1, 2-19. http://journal.fsv.cuni.cz/mag/article/show/id/1149
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More information through EDIRC
market integration; segmentation; asset pricing; emerging markets; Eastern Europe country risk;
Other versions of this item:
- Elena Fedorova & Mika Vaihekoski, 2009. "Global and Local Sources of Risk in Eastern European Emerging Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(1), pages 2-19, January.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-24 (All new papers)
- NEP-CFN-2009-01-24 (Corporate Finance)
- NEP-EEC-2009-01-24 (European Economics)
- NEP-RMG-2009-01-24 (Risk Management)
- NEP-TRA-2009-01-24 (Transition Economics)
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