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A Test of the Revised Interest Parity in China and Asian Emerging Markets

Listed author(s):
  • Heeho Kim
  • JooEun Cho

This paper explored and tested the risk-adjusted uncovered interest parity model to investigate the degree of capital mobility in the United States, Japan, the United Kingdom, and four East Asian emerging markets relative to China from January 1994 to July 2008. Evidence was found to strongly support our hypotheses; market risk was significant for capital flows in the Chinese capital market, while the relationship between returns and the appreciation rate of the exchange rate were divided between the Asian emerging markets and the developed economies, depending on the directions of capital flows.

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File URL: http://mesharpe.metapress.com/link.asp?target=contribution&id=W324G66250K445L7
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Article provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.

Volume (Year): 47 (2011)
Issue (Month): 0 (September)
Pages: 23-41

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Handle: RePEc:mes:emfitr:v:47:y:2011:i:0s4:p:23-41
Contact details of provider: Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024

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