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Variation de risque mondial, local et de change sur les marches boursiers

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  • Lamia SEBAI
  • siwar ELLOUZ

Abstract

Objectif : étudier l’importance des risques mondiaux, locaux et de changeMéthode : MEDAFI et DCC-GARCHRésultats : le risque mondial, local et de change sont évalués et varient dans le temps. Le prix du risque local sur le marché boursier émergent ne varie pas dans le temps par rapport au marché mondial, mais varie dans le temps par rapport au marché émergent.Originalité / pertinence : Etudier l'évolution de risque global, local et de change sur une longue période et mettre en œuvre plusieurs processus pour estimer le CAPM, comme un modèle multivarié GARCH-DCC.Mots-clés : risque de change, risque global, risque local et DCC-GARCH.

Suggested Citation

  • Lamia SEBAI & siwar ELLOUZ, 2022. "Variation de risque mondial, local et de change sur les marches boursiers," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(2), pages 2-13, December.
    • Handle: RePEc:jaf:journl:v:13:y:2022:i:2:n:388
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    More about this item

    Keywords

    risque de change; risque global; risque local; DCC-GARCH; Currency risk; global risk; local risk; DCC-GARCH;
    All these keywords.

    JEL classification:

    • M1 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration
    • N8 - Economic History - - Micro-Business History
    • G3 - Financial Economics - - Corporate Finance and Governance

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