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On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?

Author

Listed:
  • Khaled Guesmi

    () (Department of Finance, IPAG Business School, IPAG Lab & EconomiX, University of Paris West, France)

  • Mohamed Hedi Arouri

    () (EDHEC Business School)

  • Ilyes Abid

    () (EconomiX, UMR CNRS 7166, University of Paris West, La Defense)

  • Frédéric Teulon

    () (Department of Finance, IPAG Business School, IPAG Lab, France)

Abstract

This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important component of the total premium followed by the global market premium. As for the regional risk, our findings show that it is significantly priced for all studied emerging regions but its contribution to the total risk premium is weak.

Suggested Citation

  • Khaled Guesmi & Mohamed Hedi Arouri & Ilyes Abid & Frédéric Teulon, 2013. "On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?," Economics Bulletin, AccessEcon, vol. 33(1), pages 597-611.
  • Handle: RePEc:ebl:ecbull:eb-12-00921
    as

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    References listed on IDEAS

    as
    1. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    2. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
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    Cited by:

    1. Guesmi, Khaled & Kablan, Sandrine, 2015. "Financial integration and Japanese stock market," MPRA Paper 70206, University Library of Munich, Germany.
    2. repec:ipg:wpaper:2014-394 is not listed on IDEAS
    3. repec:ipg:wpaper:2014-415 is not listed on IDEAS

    More about this item

    Keywords

    international asset pricing; equity risk premium; financial integration; emerging markets; multivariate GARCH;

    JEL classification:

    • F0 - International Economics - - General
    • F5 - International Economics - - International Relations, National Security, and International Political Economy

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