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Time-varying global, local and currency risk in emerging stock markets

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  • Lamia SEBAI

  • siwar ELLOUZ

Abstract

Objective: to investigated the importance of global, local and currency risks \n Method: The international version of the conditional CAPM and DCC-GARCH \n Results: the world market risk together with the currency and local market risks are priced and time-varying on the emerging market stock market. The price of local risk in the stock market emerging is non-time-varying relative to the global market, but time-varying relative to the emerging market. \n Originality / relevance: Study the evolution of global, local and foreign exchange rates over a long period and implement several processes to estimate the CAPM, such as a GARCH-DCC multivariate model. \n Keywords: Currency risk, global risk, local risk, and DCC-GARCH.

Suggested Citation

  • Lamia SEBAI & siwar ELLOUZ, 2022. "Time-varying global, local and currency risk in emerging stock markets," 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:504
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    References listed on IDEAS

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    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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